Maternal exposure to atmospheric fine particulate matter (PM2.5) during pregnancy is associated with adverse fetal development, including abnormal brain development. However, the underlying mechanisms and influencing factors remain uncertain. This study investigated the roles of DNA methylation in genes involving neurodevelopment and thyroid hormones (THs) in fetal brain development after maternal exposure to PM2.5 from e-waste. Among 939 healthy pregnant women recruited from June 2011 to September 2012, 101 e-waste-exposed and 103 reference mother-infant pairs (204 pairs totally) were included. Annual ground-level PM2.5 concentrations over e-waste-exposed area (116.38°E, 23.29°N) and reference area (116.67°E, 23.34°N) in 2011, 2012 were obtained by estimates and maternal exposure was evaluated by calculating individual chronic daily intakes (CDIs) of PM2.5. Methylation and THs including thyroid-stimulating hormone (TSH), free triiodothyronine (FT3) and free thyroxine (FT4) level were measured in umbilical cord blood collected shortly after delivery. We found higher ground-level PM2.5 concentrations led to greater individual CDI of PM2.5 in e-waste-exposed pregnant women. After adjustment for gender and birth BMI, significant mediation effects on the adverse associations of maternal PM2.5 exposure with birth head circumference were observed for methylations at positions +13 and + 32 (respectively mediated proportion of 9.8% and 5.3%, P < 0.05 and P < 0.01) in the brain-specific angiogenesis inhibitor 1 (BAI1) gene, but not for methylations in the catenin cadherin-associated protein, alpha 2 (CTNNA2) gene. BAI1 (position +13) methylation was also significantly correlated with FT3 levels (rs = −0.156, P = 0.032), although maternal CDI of PM2.5 was positively associated with higher odds of abnormal TSH levels (OR = 5.03, 95% CI: 1.00, 25.20, P = 0.05) rather than FT3 levels. Our findings suggest that methylation (likely linked to THs) in neonates may play mediation roles associated with abnormal brain development risk due to maternal exposure to atmospheric PM2.5 from e-waste.