Air pollution is one of the greatest environmental risks to health, with 99% of the world's population living where the World Health Organization's air quality guidelines were not met. In addition to the respiratory and cardiovascular systems, the brain is another potential target of air pollution. Population- and experiment-based studies have shown that air pollution may affect mental health through direct or indirect biological pathways. The evidence for mental hazards associated with air pollution has been well documented. However, previous reviews mainly focused on epidemiological associations of air pollution with some specific mental disorders or possible biological mechanisms. A systematic review is absent for early effect biomarkers for characterizing mental health hazards associated with ambient air pollution, which can be used for early warning of related mental disorders and identifying susceptible populations at high risk. This review summarizes possible biomarkers involved in oxidative stress, inflammation, and epigenetic changes linking air pollution and mental disorders, as well as genetic susceptibility biomarkers. These biomarkers may provide a better understanding of air pollution's adverse effects on mental disorders and provide future research direction in this arena.