The construction of healthy cities and environmental governance are important strategies for enhancing the sense of well-being among residents in China. This study, based on tracking survey data from CFPS 2010-2020 and annual average PM2.5 data for counties (districts), found that the Healthy City Pilot has a significant policy welfare effect on improving residents' sense of well-being. The implementation of China's Healthy City Pilot Policy directly reduces the annual average PM2.5 pollution concentration in pilot cities by approximately 6µg/m3, indirectly increases the life satisfaction of residents in the pilot areas by 8.02%, future life confidence by 6.04%, and reduces depressive mood by 4.72%. The micro-transmission mechanism indicates that environmental governance under the health strategy primarily enhances physical health, increases exercise behavior, and reduces the risk of chronic diseases, thereby positively impacting residents' sense of well-being. This study reveals the intrinsic relationship mechanism between the Healthy City Policy, environmental governance, and resident well-being. The research findings can provide valuable insights and references for the implementation of health policies and sustainable environmental development strategies in other countries.