For countries in South-East Asia, air pollution presents a complex challenge that has proven difficult to effectively address. Policy action needs to be informed by a clear understanding of the most important drivers and sources of air pollution in local contexts, and the costs and benefits of different measures in mitigating these sources. Here, we present the findings from a participatory system dynamics modelling study which aimed to support policy and decision-making to manage the transboundary air pollution challenge in Thailand and Lao PDR. The research included two participatory modelling projects undertaken at the subnational level for Chiang Rai Province and Vientiane Prefecture which developed and applied an integrated air pollution (IAP) model. The participatory model development process undertaken with governments, private sector and civil society stakeholders identified key sources of air pollution (PM2.5 emissions), socioeconomic drivers and impacts, and potential policy interventions which were incorporated into the IAP model. Model projections for 2030 identified key sources of emissions for Chiang Rai as waste burning, cooking/heating and small vehicles, while for Vientiane they were cooking/heating, cement production, waste burning, small vehicles and petrochemical sources. Through group-based scenario gaming exercises, stakeholders gained insights on the cost and efficacy of different policy options by testing alternative investment scenarios. For both Chiang Rai and Vientiane, the largest reductions in PM2.5 emissions were projected from policies that targeted the waste burning, household cooking and transport sectors. This contrasted somewhat to stakeholder perceptions regarding the dominance of air pollution sources such as open burning of agricultural residues and forest fires. We highlight key insights and implications of the study for policy and research including the use of participatory systems dynamics modelling as a method for understanding and addressing complex sustainability challenges such as air pollution.