In 2017, the Lancet Commission on Dementia Prevention, Intervention, and Care included air pollution in its list of potential risk factors for dementia; in 2018, the Lancet Commission on Pollution concluded that the evidence for a causal relationship between fine particulate matter (PM) and dementia is encouraging. However, few interventions exist to delay or prevent the onset of dementia. Air quality data are becoming increasingly available, and the science underlying the associated health effects is also evolving rapidly. Recent interest in this area has led to the publication of population-based cohort studies, but these studies have used different approaches to identify cases of dementia. The purpose of this article is to review recent evidence describing the association between exposure to air pollution and dementia with special emphasis on fine particulate matter of 2.5 microns or less. We also summarize here the proposed detailed mechanisms by which air pollutants reach the brain and activate the innate immune response. In addition, the article also provides a short overview of existing limitations in the treatment of dementia.