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A CNN+LSTM (Convolutional Neural Network + Long Short-Term Memory) based deep hybrid neural network was established for the citywide daily PM_2.5 prediction in South Korea. The structural hyperparameters of the CNN+LSTM model were determined through comprehensive sensitivity tests. The input features were obtained from the ground observations and GFS forecast. The performance of CNN+LSTM was evaluated by comparison with PM_2.5 observations and with the 3-D CTM (three-dimensional chemistry transport model)-predicted PM_2.5. The newly developed hybrid model estimated more accurate ambient levels of PM_2.5 compared to the 3-D CTM. For example, the error and bias of the CNN+LSTM prediction were 1.51 and 6.46 times smaller than those by 3D-CTM simulation. In addition, based on IOA (Index of Agreement), the accuracy of CNN+LSTM prediction was 1.10–1.18 times higher than the 3-D CTM-based prediction. The importance of input features was indirectly investigated by sequential perturbing input variables. The most important meteorological and atmospheric environmental features were geopotential height and previous day PM_2.5. The obstacles of the current CNN+LSTM-based PM_2.5 prediction were also discussed. The promising result of this study indicates that DNN-based models can be utilized as an effective tool for air quality prediction.