The Salt Lake Valley experiences severe fine particulate matter pollution episodes in winter during persistent cold-air pools (PCAPs). We employ measurements throughout an entire winter from different elevations to examine the chemical and dynamical processes driving these episodes. Whereas primary pollutants such as NOx and CO were enhanced twofold during PCAPs, O3 concentrations were approximately threefold lower. Atmospheric composition varies strongly with altitude within a PCAP at night with lower NOx and higher oxidants (O3) and oxidized reactive nitrogen (N2O5) aloft. We present observations of N2O5 during PCAPs that provide evidence for its role in cold-pool nitrate formation. Our observations suggest that nighttime and early morning chemistry in the upper levels of a PCAP plays an important role in aerosol nitrate formation. Subsequent daytime mixing enhances surface PM2.5 by dispersing the aerosol throughout the PCAP. As pollutants accumulate and deplete oxidants, nitrate chemistry becomes less active during the later stages of the pollution episodes. This leads to distinct stages of PM2.5 pollution episodes, starting with a period of PM2.5 buildup and followed by a period with plateauing concentrations. We discuss the implications of these findings for mitigation strategies.