"Kicked off my visit with a run through Tiananmen Square, past the Forbidden City and over to the Temple of Heaven," the Facebook founder said in a post.
The National Meteorological Centre reported that smog this week reached "dangerously high levels" in Beijing.
The Chinese capital has been plagued by recurring air pollution linked to lung damage and respiratory illnesses.
Local media reported that the air in Beijing on Friday pushed past 300 AQI on the Air Quality Index, a level deemed 'hazardous'.
At this level, most Beijing residents resort to wearing face masks.
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Social media giant Facebook is banned in China. But thousands of netizens are still able to get around China's firewall by using virtual private networks.
While most replies on the post offered praise for Zuckerberg, some Chinese commentators were less supportive.
"Did you run for real?" asked Facebook user Nate Ziran Chen.
Another Facebook user Cindy Acevedo said: "Mark goes to Beijing, decides to go running. Mark doesn't wear a mask, comes back to US with lung cancer. Don't be like Mark, wear your mask."
"For someone who keeps proclaiming his love and interest in China and wants to make it big, you sure don't know anything about our country," said Ginny Koh. "For one, everyone in Beijing has to wear a mask. We don't take air pollution lightly, like you do."
Chinese Facebook users are criticising a post by Mark Zuckerberg jogging through Beijing without a face mask.