In northern Italy, biomass burning-derived (BB) particles and diesel exhaust particles (DEP) are considered the most significant contributors to ultrafine particle (UFP) emission. However, a comparison between their impact on different brain regions was not investigated until now. Therefore, male BALB/c mice were treated with a single or three consecutive intratracheal instillations using 50 µg of UFPs in 100 µL of isotonic saline solution or 100 µL of isotonic saline solution alone, and brains were collected and analyzed. Proteins related to oxidative stress and inflammation, as well as Alzheimer’s disease markers, were examined in the hippocampus, cerebellum, and the rest of the brain (RoB). Histopathological examination of the brain was also performed. Moreover, correlations among different brain, pulmonary, and cardiovascular markers were performed, allowing us to identify the potentially most stressful UFP source. Although both acute exposures induced inflammatory pathways in mouse brain, only DEP showed strong oxidative stress. The sub-acute exposure also induced the modulation of APP and BACE1 protein levels for both UFPs. We observed that DEP exposure is more harmful than BB, and this different response could be explained by this UFP’s different chemical composition and reactivity.