Abstract Inflammation is one of the suggested pathways linking exposure to neighbourhood air pollution and greenspace to psychological distress. Yet, inflammation has not been tested formally as a mediating factor in an adult human sample. Using data from 6813 adults participating in Understanding Society, the present study examines longitudinally the joint role of the two neighbourhood‐level exposures in psychological distress and the mediating role of inflammation. Annual concentrations of nitrogen dioxide and availability of greenspace in participants' neighbourhoods across England and Wales were examined. Psychological distress was measured with the General Health Questionnaire. Inflammation was assessed with C‐reactive protein and fibrinogen. A structural equation model path analysis showed that, in fully adjusted models, an increase in the amount of greenspace in one's neighbourhood was related to lower psychological distress 4 years later, but inflammation did not mediate this relationship. Neighbourhood‐level air pollution, specifically nitrogen dioxide, was not associated with psychological distress. Read the free Plain Language Summary for this article on the Journal blog.