Background <p>Air pollutants have been reported to affect mental health. However, the results on the association between particulate matter with an aerodynamic diameter ≤ 2.5&#xa0;μm (PM_2.5) and depression have been inconsistent, and there have been relatively few studies conducted among children.</p> Methods <p>This study examined the association between PM_2.5 exposure and depressive symptoms in 52 children (aged 9–10 years) with repeated assessments across three waves. The Children’s Depression Inventory (CDI) was used to evaluate depressive symptoms. Exposure to PM_2.5 was estimated by combining measurements from indoor and outdoor settings where the participants spent time during the study period based on a time-activity diary. A generalized estimating equation model was constructed to estimate the association between PM_2.5 and the children’s depressive symptoms after adjusting for potential confounders.</p> Results <p>Per 10&#xa0;µg/m³ increase in 24-hour average personal PM_2.5 exposure on the day of assessment (lag 0), no significant association was observed with the mean CDI score (β = 0.12, 95% CI: −1.02 ~ 1.27; Model 2). A statistically significant inverse association was observed at lag 2 (β = −0.80, 95% CI: −1.49 ~ − 0.11; Model 2). In sex-stratified analyses, associations differed by sex, with predominantly positive estimates among boys and negative estimates among girls across examined lags.</p> Conclusion <p>Although the overall association between short-term PM_2.5 exposure and depressive symptoms was not significant, a significant PM_2.5-by-sex interaction suggested effect modification by sex. Further studies and efforts to reduce indoor and outdoor PM_2.5 exposure are warranted.</p> Trial registration <p>Clinical Research Information Service KCT0004277(Registered Date: 2019/09/05).</p>