Air pollution’s effects on physical health, especially cardiovascular and respiratory, are well known. Exposure to air pollution may damage every organ and cell in the human body. New evidence is emerging showing that air pollution adversely affects human mental health. Current research suggests that high air pollution levels have long-term mental health effects, such as reduced mental capacity and increased cognitive decline, leading to increased stress, anxiety, and depression. Objectives: This scoping review aims to provide a comprehensive overview of the methods used in epidemiological literature to ascertain the existence of links between outdoor particulate matter (PM) and multiple adverse mental health (MH) effects (depression, anxiety, and/or stress). A better understanding of the practical research methodologies could lead to improved air quality (AQ) management and enhanced well-being strategies. Methods: This paper undertakes a scoping review. PubMed and EMBASE databases from 2010 to 2024 were searched for English-language human cohort observational studies stating methodologies used in analyzing the link between outdoor particulate matter (ultrafine (UFT) (<0.1 μm), fine (<2.5 μm), and course (<10 μm)) and mental health outcomes (depression, anxiety, and stress) in adults (>18 years), excluding vulnerable populations (i.e., elderly, children, and pregnant women). The study focuses on urban, suburban areas, and rural areas. Results: From an initial search of 3889 records, 29 studies met the inclusion criteria and were included in the review. These studies spanned various countries and employed robust quantitative methodologies to assess AQ and MH. All included studies investigated the impact of PM on mental health, with some (n = 19/65.52%) also examining nitrogen oxides (NOx), nitrogen dioxide (NO2), sulfur dioxide (SO2), ozone (O3), and carbon monoxide (CO). Depression was the most frequently studied outcome (n = 10/34.48%), followed by anxiety and depression (n = 6/20.69%), and anxiety, stress, and depression, and stress (n = 4/13.79%, each). Depression, anxiety, and stress together were examined in a single study (n = 1/3.45%). Standardized questionnaires involving psychological scales such as Patient Health Questionnaire (PHQ) (n = 7/24.14%) and The Center for Epidemiological Studies-Depression (CES-D) (n = 3/10.34%) for depression and Generalized Anxiety Disorder Questionnaire (GAD) (n = 2/6.90%) for anxiety were commonly used MH tools. 27 out of 29 studies found a significant negative impact of air pollution on mental health, demonstrating a solid consensus in the literature. Two studies did not find a significant correlation. The results consistently indicated that higher levels of air pollution were associated with increased symptoms of depression, anxiety, and stress. Conclusion: Of the 3889 identified studies, 29 were suitable for inclusion in the scoping review per inclusion criteria. The results show the most preferred methods in assessing air quality and mental health in relevant studies, providing a detailed account of each method’s strengths and limitations used in studies. This scoping review was conducted to assist future research and relieve the decision-making process for researchers aiming to find a correlation between air quality and mental health. While the inclusion criteria were strict and thus resulted in few studies, the review found a gap in the literature concerning the general adult population, as most studies focused on vulnerable populations. Further exploration of the methodologies used to find the relationship between air quality and mental health is needed, as reporting on these outcomes was limited.