Air pollution is a global issue that threatens human health. In recent years, more and more studies have found that air pollution is closely related to the occurrence of depression. As a serious neuropsychiatric disorder whose incidence is rising rapidly year by year, depression has become an invisible killer of public health. At present, studies on the correlation between air pollution and depression are still very limited, and the underlying molecular mechanisms by which air pollution affects depression are not clear. Based on existing epidemiological and toxicological studies, this paper provided a review of the relationship between air pollution and depression and the possible biological mechanisms, with a focus on the relationship between air pollution and depression indicators and the possible factors affecting depression such as types of air pollutants, exposure time, age and health status of study subjects. In addition, the potential roles of neuroinflammation, oxidative stress, neurogenesis, and apoptosis in the process of air pollution-induced depression were also discussed in order to provide a scientific basis for the prevention and treatment of air pollution-induced depression.