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Pulmonary tuberculosis (PTB) has been a major threat to global public health. The association between meteorological factors and the incidence of PTB has been widely investigated by the generalized additive model, auto-regressive integrated moving average model and the distributed lag model, etc. However, these models could not address a non-linear or lag correlation between them. In this paper, a penalized distributed lag non-linear model, as a generalized and improved one, was applied to explore the influence of meteorological factors (such as air temperature, relative humidity and wind speed) on the PTB incidence in Xinjiang from 2004 to 2019. Moreover, we firstly use a comprehensive index (apparent temperature, AT) to access the impact of multiple meteorological factors on the incidence of PTB. It was found that the relationships between air temperature, relative humidity, wind speed, AT and PTB incidence were nonlinear (showed "wave-type ", "invested U-type", "U-type" and "wave-type", respectively). When air temperature at the lowest value (−16.1 °C) could increase the risk of PTB incidence with the highest relative risk (RR = 1.63, 95% CI: 1.21–2.20). An assessment of relative humidity demonstrated an increased risk of PTB incidence between 44.5% and 71.8% with the largest relative risk (RR = 1.49, 95% CI: 1.32–1.67) occurring at 59.2%. Both high and low wind speeds increased the risk of PTB incidence, especially at the lowest wind speed 1.4 m/s (RR = 2.20, 95% CI: 1.95–2.51). In particular, the lag effects of low and high AT on PTB incidence were nonlinear. The lag effects of extreme cold AT (−18.5 °C, 1st percentile) on PTB incidence reached a relative risk peak (RR = 2.18, 95% CI: 2.06–2.31) at lag 1 month. Overall, it was indicated that the environment with low air temperature, suitable relative humidity and wind speed is more conducive to the transmission of PTB, and low AT is associated significantly with increased risk of PTB in Xinjiang. [ABSTRACT FROM AUTHOR]