As one of the most harmful air pollutants, fine particulate matter (PM2.5) has been implicated as a risk factor for multiple diseases, which has generated widespread public concern. Accordingly, a growing literature links PM2.5 exposure with Alzheimer’s disease (AD). A critical gap in our understanding of the adverse effects of PM2.5 on AD is the mechanism triggered by PM2.5 that contributes to disease progression. Recent evidence has demonstrated that PM2.5 can activate NLRP3 inflammasome-mediated neuroinflammation. In this review, we highlight the novel evidence between PM2.5 exposure and AD incidence, which is collected and summarized from neuropathological, epidemiological, and neuroimaging studies to in-depth deciphering molecular mechanisms. First, neuropathological, epidemiological, and neuroimaging studies will be summarized. Then, the transport pathway for central nervous system delivery of PM2.5 will be presented. Finally, the role of NLRP3 inflammasome-mediated neuroinflammation in PM2.5 induced-effects on AD will be recapitulated.