Increasing incidents of regional pollution in China have threatened the well-being and physical and mental health of individuals. Therefore, the potential impact of air pollution on mental health must be assessed. This study examined the relationship between air pollution and mental health, as well as the regulatory effects of health behaviors. Air pollution was measured using the concentration of particulates with a diameter less than 2.5 μm (PM_2.5), and mental health was measured using the Center for Epidemiologic Studies Depression (CES-D) scale. Using the China Family Panel Studies 2010 and 2014 data sets, the panel data regression model was employed to discuss the associations between air pollution and mental health and the interaction between air pollution and health behaviors on mental health. In total, 52 568 observations were collected. When the concentration of PM_2.5 increased by 1 μg m⁻³, the CES-D scale scores decreased by 0.012 (95% CI: −0.021 to −0.003). Smoking was the only health behavior that made this effect more pronounced, its regulatory effect on the CES-D scale scores was −0.011 (95% CI: −0.021 to −0.002). The mental health of low-income individuals was also more vulnerable to the adverse effects of air pollution. This study highlights the potential impact of air pollution on mental health and the importance of health behaviors; it also provides suggestions for maintaining mental health and formulating policies based on changing air quality in the future.