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Particulate matter (PM) exposure is linked to inflammation, neuroinflammation, and cognitive decline, whereas aerobic training improves cognition. We investigated the effects of PM exposure during aerobic training on inflammatory biomarkers, serum brain-derived neurotrophic factor (BDNF), an assumed mediator of exercise-induced cognitive improvements, and cognitive performance.Two groups of untrained volunteers completed an aerobic training program of 12 wk, 3 sessions a week: one group (n = 15) in an urban and another group (n = 9) in a rural environment. Ultrafine PM (UFPM) concentrations were measured during each training session. Aerobic fitness (Cooper test), BDNF serum levels, blood total and differential leukocyte counts, exhaled nitric oxide levels, and cognitive performance (Stroop task, Operation Span, and Psychomotor Vigilance task) were analyzed before and after the program.UFPM concentrations were significantly higher in the urban environment compared with the rural environment (P = 0.006). Fitness levels improved equally (P < 0.0001) in both groups. Leukocyte counts (P = 0.02), neutrophil counts (P = 0.04), and exhaled nitric oxide levels (P = 0.002) increased after training in the urban group, whereas these parameters did not change in the rural group. The changes in these markers’ levels after training showed a positive correlation with the personal average UFPM exposure during training. Reaction times on the Stroop task improved in the rural group (P = 0.001), but not in the urban group. No effects were found on BDNF levels, Operation Span, and Psychomotor Vigilance test performances.Aerobic training in an urban environment with high traffic-related air pollution increased inflammatory biomarkers, and, in contrast to aerobic training in a rural environment, cognitive performance on the Stroop task did not improve.