Abstract: Based on panel data of 18 cities in Henan Province from 2006 to 2017, the interaction among coal consumption, industrial structure and haze pollution was analyzed by using PVAR model from the perspective of panel moment estimation, impulse response function and variance decomposition. The results show that haze pollution is aggravated by coal consumption and industrial structure as a whole, but haze pollution not only inhibits the growth of coal consumption, but also reduces the proportion of secondary industry output value to total output value; the response of haze pollution to industrial structure is long-term positive, and the overall trend of decline; the response of coal consumption to haze pollution is long-term positive. The industrial structure is the key factor to aggravate haze pollution.