Same for me when I moved out of a stuffy old high-rise in Philadelphia. I had frequent coughs and wheezing, shortness of breath, and just lots of general discomfort with breathing. Every time I washed my car there was a thick black layer of soot covering it within a couple days, so I'm sure that was doing great things for my lungs. Also got a couple serious colds every year when I lived there. That was as a 20-something who never smoked, didn't have asthma and wasn't overweight.
Living in the suburbs now and haven't had an issue since moving.