To investigate the role of different pattern of ambient air pollutants exposure during early life on childhood pneumonia, we conducted a retrospective cohort study of 3226 preschool children aged three to six years in Shenzhen, China during 2015 to 2016. Each child's exposure to three main air pollutants (PM₁₀, SO₂ and NO₂) was calculated by the inverse distance weighted method. Multiple logistic regression analysis was used to investigate the pneumonia risk of early life exposure to air pollution. A relatively high prevalence of pneumonia (24.3%) among preschool children in Shenzhen was significantly associated with exposure to PM₁₀ and SO₂ during the first year of life, with adjusted odds ratios = 1.24 (1.05, 1.46) and 1.20 (1.05, 1.38) respectively. However, we observed no relationship between NO₂ exposure and childhood pneumonia in pregnancy and first year of life. Sensitivity analysis suggested that boys, younger children (three to four years), non-preterm children, children without parental atopy and with exposure to environmental tobacco smoke were more susceptible to the impact of exposure to PM₁₀ and SO₂ on their suffering of pneumonia during their first year of life. Early-postnatal exposure to classical air pollution at low concentration during the first year of life can have an important role in enhancing the risk of childhood pneumonia, especially with the sensitive population.