The high incidence of cancer has placed an enormous health and economic burden on countries around the world. In addition to evidence of epidemiological studies, conclusive evidence from animal experiments and mechanistic studies have also shown that morbidity and mortality of some cancers can be attributed to ambient fine particulate matter (PM2.5) exposure, especially in lung cancer. However, the underlying carcinogenetic mechanisms of PM2.5 remain unclear. Furthermore, in terms of risks of other types of cancer, both epidemiological and mechanistic evidence are more limited and scattered, and the results are also inconsistent. In order to sort out the carcinogenic effect of PM2.5, this paper reviews the association of cancers with PM2.5 based on epidemiological and biological evidence including genetic, epigenetic, and molecular mechanisms. The limitations of existing researches and the prospects for the future are also well clarified in this paper to provide insights for future studies.