This pre-registered study aims to explore the impact of air pollution, an environmental factor, on corporate bond credit spreads. We are going to investigate three questions in this study: (1) whether air pollution exhibits a causal effect on corporate bond risk premiums? (2) what are the underlying mechanisms driving this relationship? (3) how firm-level heterogeneity modulates environmental risk sensitivity? To explore these questions, we collect corporate bonds that have traded in China's exchange markets from 2014 to 2022 to conduct an empirical analysis. These findings underscore the importance of environmental considerations, such as air pollution, in shaping corporate financial risks and investment decisions.