Adverse associations between air pollution and myocardial infarction (MI) are widely reported in medical literature. However, inconsistency and sensitivity of the findings are still big concerns. An exploratory investigation was undertaken to examine associations between air pollutants and risk of acute MI (AMI) hospitalization in Alberta, Canada. A time stratified case-crossover design was used to assess the transient effect of five air pollutants (carbon monoxide (CO), nitrogen dioxide (NO2), nitric oxide (NO), ozone (O3) and particulate matter with an aerodynamic diameter ≤2.5 (PM2.5)) on the risk of AMI hospitalization over the period 1999-2009. Subgroups were predefined to see if any susceptible group of individuals existed. A three-step procedure, including univariate analysis, multivariate analysis, and bootstrap model averaging, was used. The multivariate analysis was used in an effort to address adjustment uncertainty; whereas the bootstrap technique was used as a way to account for regression model uncertainty. There were 25,894 AMI hospital admissions during the 11-year period. Estimating health effects that are properly adjusted for all possible confounding factors and accounting for model uncertainty are important for making interpretations of air pollution-health effect associations. The most robust findings included: (1) only 1-day lag NO2 concentrations (6-, 12- or 24-hour average), but not those of CO, NO, O3 or PM2.5, were associated with an elevated risk of AMI hospitalization; (2) evidence was suggested for an effect of elevated risk of hospitalization for NSTEMI (Non-ST Segment Elevation Myocardial Infarction), but not for STEMI (ST segment elevation myocardial infarction); and (3) susceptible subgroups included elders (age ≥65) and elders with hypertension. As this was only an exploratory study there is a need to replicate these findings with other methodologies and datasets.