Emerging epidemiological evidence suggests that exposure to particulate matter (PM) air pollution increases the risk of cardiovascular events but the exact mechanism by which PM has adverse effects is still unclear. Alveolar macrophages (AM) play a major role in clearing and processing inhaled PM. This comprehensive review of research findings on immunological interactions between AM and PM provides potential pathophysiological pathways that interconnect PM exposure with adverse cardiovascular effects. Coarse particles (10 μm or less, PM10) induce innate immune responses via endotoxin-toll-like receptor (TLR) 4 pathway while fine (2.5 μm or less, PM2.5) and ultrafine particles (0.1 μm or less, UFP) induce via reactive oxygen species generation by transition metals and/or polyaromatic hydrocarbons. The innate immune responses are characterized by activation of transcription factors [nuclear factor (NF)-κB and activator protein-1] and the downstream proinflammatory cytokine [interleukin (IL)-1β, IL-6, and tumor necrosis factor-α] production. In addition to the conventional opsonin-dependent phagocytosis by AM, PM can also be endocytosed by an opsonin-independent pathway via scavenger receptors. Activation of scavenger receptors negatively regulates the TLR4-NF-κB pathway. Internalized particles are subsequently subjected to adaptive immunity involving major histocompatibility complex class II (MHC II) expression, recruitment of costimulatory molecules, and the modulation of the T helper (Th) responses. AM show atypical antigen presenting cell maturation in which phagocytic activity decreases while both MHC II and costimulatory molecules remain unaltered. PM drives AM towards a Th1 profile but secondary responses in a Th1- or Th-2 up-regulated milieu drive the response in favor of a Th2 profile.