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Update 2015-05-14 I contacted WRI support and they confirmed that this is a known issue with Export (support case: 3206586). Summary @ChenStatsYu seems to have found an unexplained behavior of the Export function for PDF files that looks like a bug. Detailed results 1) I generated two graphics similar to those in the OP's original question, then ...


Plot[{PDF[NormalDistribution[], x], PDF[NormalDistribution[-4, 1], x], PDF[NormalDistribution[2, 1], x]}, {x, -8, 6}, AxesLabel -> {None, None}, Ticks -> {Automatic, None}, Axes -> {True, False}, Background -> None, PlotLegends -> Placed[{"N(0,1)", "N(-4,1)", "N(2,1)"}, {1, .5}]]

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