Although long-term exposures to air pollutants have been linked to mental disorders, existing studies remain limited and inconsistent. We investigated the relationship between exposure to particulate matter (PM) and depressive symptoms, as well as the potential role of sleep duration and physical activity. Using the surveillance data (2019 to 2022) of common diseases and risk factors among 312,390 students aged 10-25years, logistic regression, generalized liner model (GLM) and restricted cubic spline (RCS) were employed to investigate the relationship between long-term exposure to PM and depressive symptoms. Significant associations were found between PM1 (OR=1.21, 95% CI: 1.12-1.32), PM2.5 (OR=1.24, 95% CI: 1.19-1.38), and PM10 (OR=1.87, 95% CI: 1.69-2.07) and increased risks of depressive symptoms. Sleep duration and physical activity relieved these associations. The odds ratios (ORs) of PM1, PM2.5, and PM10 on depressive symptoms were lower in group with sufficient sleep (1.02 vs. 1.49, 1.20 vs. 1.80, 2.15 vs. 2.23), lower in group with high level MVPA (1.13 vs. 1.48, 1.14 vs. 1.58, 1.85 vs. 2.38), and lower in group with high level outdoor activity (1.19 vs. 1.55, 1.23 vs. 1.63, 1.83 vs. 2.72). Conclusions about causality remain speculative because of the cross-sectional design. Sufficient sleep duration and outdoor activity may mitigate the decline in mental health among adults in developing countries caused by long-term exposure to PM. This contribution enhanced our understanding of the mechanisms linking air pollution to mental health.