Environmental pollution poses a significant risk to human health. Particulate matter (PM) found in polluted air is particularly of concern due to its ability to penetrate the blood-brain barrier (BBB) and impact the central nervous system (CNS), affecting sensory, cognitive, and emotional well-being. The aim of this review is to provide a comprehensive overview on the latest evidence regarding the association between PM exposure and behavioral outcomes in adult and older populations. Searches were conducted across PubMed, Web of Science, and Scopus up to August 2023, with articles selected and screened following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines. A total of 27 articles meeting the criteria were included, and their risk of bias was evaluated using the Newcastle Ottawa Scale. The studies primarily focused on PM2.5 and PM10 in regions such as Europe, the USA, and Asia. While data on the impact of PM exposure on sensory variables were limited, suggesting an adverse effect, overall findings indicated a link between PM exposure and worsened cognitive function, increased risk of dementia, depressive symptoms, and anxiety. Some studies highlighted sex-dependent effects of PM exposure, with women experiencing a higher prevalence of adverse effects. This review underscores the importance of further research to understand the specific cognitive aspects affected by PM exposure, particularly in relation to dementia risk.