PM_2.5 is fine particulate matter with a diameter of less than 2.5 μm. Recent evidence has shown that exposure to PM_2.5 markedly elevates the risk of neurodegenerative diseases, neurodevelopmental disorders, and cardiovascular diseases, which may culminate in cognitive impairment. Nevertheless, the precise mechanisms through which PM_2.5 affects cognitive function are unclear. Recent studies have demonstrated that PM_2.5-induced epigenetic alterations are associated with the development of cognitive impairment. Epigenetic alterations include modifications to DNA methylation, histone modifications, and non-coding RNAs. The underlying mechanisms of epigenetic alterations are related to inflammation, synaptic dysfunction, cardiovascular factors, and alterations in neuronal structure and function. This review reports the latest findings on the relationship between PM_2.5-induced epigenetic alterations and the development of cognitive disorders, offering novel insights into the cognitive effects of air pollution.