China has experienced serious fine particulate matter (PM2.5) pollution in recent years, and carbon dioxide (CO2) emissions must be controlled so that China can keep its pledge to reduce CO2 emissions by 2030. The iron and steel industry is energy intensive and contributes significantly to PM2.5 pollution in China. The simultaneous reduction of CO2 emissions and PM2.5 pollution while minimizing the total mitigation costs remains a crucial issue that must be resolved. Using a multi-objective analysis, we compared potential technology combinations based on various policy preferences and targets. Our results showed that policies designed to mitigate PM2.5 pollution have substantial co-benefits for CO2 emissions reductions. However, policies focused solely on reducing CO2 emissions fail to effectively reduce PM2.5. Furthermore, CO2 emissions reductions correspond to large financial costs, whereas PM2.5 pollution reductions are less expensive. Our results suggest that under limited budgets, decision makers should prioritize PM2.5 reductions because CO2 reductions may be simultaneously achieved. Achieving large decreases in CO2 emissions will require further technological innovations to reduce the cost threshold. Thus, China should focus on reducing PM pollution in the short term and prepare for the expected challenges associated with CO2 reductions in the future.