Air pollution is common in China and throughout the world. Fine particulate matter (PM_2.5) is a main air pollutant carrying toxic components, and its impacts on human health have aroused great concern domestically and internationally. Toxic components of PM_2.5 mainly consist of heavy metals and polycyclic aromatic hydrocarbons, which can enter blood circulation from the alveolar-blood exchange through breathing and exert adverse health effects on respiratory, cardiovascular, nervous systems, etc. Studies have demonstrated that PM_2.5 exposure can cause changes in DNA methylation in human body, leading to various diseases of human organs and systems. This review summarized the effects of PM_2.5 exposure and its toxic components on DNA methylation and subsequent epigenetic modifications, and explored the underlying mechanisms of relevant diseases.