Regional air pollution is a multifaceted and dynamic system, rendering linear statistical approaches insufficient in capturing its inherent patterns of variability, particularly the intricate spatiotemporal fluctuations of multiple pollution indicators. Therefore, this study examines the synergistic evolution and impact mechanisms of PM2.5 and O3 in four cities in China’s Yangtze River Delta base from 2013 to 2022 by complex systems theory. Initially, multifractality and long-term persistence between PM2.5 and O3 are confirmed in each city using Multifractal Detrended Cross-Correlation Analysis (MFDCCA). Subsequently, evaluation indicators are established to assess control effects. Furthermore, factors influencing coordinated control are analyzed using Ensemble Empirical Mode Decomposition (EEMD). Finally, Self-Organized Criticality (SOC) theory is introduced to understand dynamic concentration patterns. The results indicate: (1) Multifractality and long-term persistence exist between PM2.5 and O3 in the four cities, and this persistence strengthens with the implementation of atmospheric pollution prevention and control policies. The application of complex systems theory facilitates the explanation and quantification of the synergistic control effectiveness of PM2.5 and O3. (2) Since 2013, except for Nanjing, the coordinated control effects of PM2.5 and O3 in Shanghai, Hangzhou, and Suzhou have been unsatisfactory and have not effectively improved. (3) Compared to human activities, atmospheric control measures, periodic meteorological variations, and long-range transport of regional pollutants have a greater influence on the synergistic regulation effects of PM2.5 and O3. (4) SOC may be the primary mechanism influencing the effectiveness of synergistic regulation of PM2.5 and O3, and sudden events such as epidemic control measures can disrupt the existing balance between PM2.5 and O3, thereby reducing the coordinated control effects.