The dusty first-startup smell is normal

All summer, dust settles on the burners, the heat exchanger and inside the ductwork. The first time the furnace fires up for the season, that dust burns off, and you get a dry, dusty, slightly burnt smell through the vents. It's normal, and it usually fades within the first few hours of running, sometimes by the end of the first day.
Turn the heat on for the first time on a mild afternoon instead of waiting for the first freezing night. Crack a window, let it run for a few hours, and the smell should clear out. If it's still strong the next day, or it keeps coming back every time the furnace runs, that's not first-startup dust anymore.
Check the filter, and what's sitting near the furnace

If the burning smell hangs around, the filter is the first thing I'd look at. A filter packed with dust and pet hair chokes the airflow, and the furnace runs hotter than it should. The other common cause is stuff stored too close to the furnace. Boxes, laundry, paint cans and cleaning supplies stacked against the cabinet can get warm and give off a smell, and that's also a fire risk.
Pull the filter and swap it if you can't see light through it, with the arrow pointing toward the furnace. Then clear the area around the furnace and the water heater. The U.S. Fire Administration's rule of thumb is to keep anything that can burn at least 3 feet away from heating equipment, and that's the same rule I'd give you.
Source: U.S. Fire Administration
Electrical, plastic or gas smells are not normal

A sharp electrical smell, hot plastic, or melting rubber is different from dust. It can point to an overheating blower motor, a wire or connection getting too hot, or something stuck against a hot part. A rotten-egg smell is different again, because that can mean gas.
- Electrical or hot-plastic smell: turn the furnace off at its power switch, which usually looks like a light switch on or near the furnace, and leave it off
- Smoke coming from the furnace or the vents: get everyone out and call 911
- Rotten-egg or gas smell: don't flip any switches or touch the thermostat; leave the house and call the gas company or 911 from outside
Don't open up the furnace or go into the electrical panel to hunt for the smell. Once the furnace is off, or the gas company has made the gas side safe, I can come out for a $79 diagnostic and find out exactly where the smell is coming from before any work starts.
Source: NFPA























