The carcinogenicity of air pollution and its impact on the risk of lung cancer is well known; however, there are still knowledge gaps and mixed results for other sites of cancer. The current study aimed to evaluate the associations between ambient air pollution [fine particulate matter (PM2.5) and nitrogen oxides (NOx)] and cancer incidence. Exposure assessment was based on historical addresses of >900 000 participants. Cancer incidence included primary cancer cases diagnosed from 2007 to 2015 (n = 30 979). Cox regression was used to evaluate the associations between ambient air pollution and cancer incidence [hazard ratio (HR), 95% CI]. In the single-pollutant models, an increase of one interquartile range (IQR) (2.11 µg/m3)of PM2.5 was associated with an increased risk of all cancer sites (HR = 1.51, 95% CI: 1.47-1.54), lung cancer (HR = 1.73, 95% CI: 1.60-1.87), bladder cancer (HR = 1.50, 95% CI: 1.37-1.65), breast cancer (HR = 1.50, 95% CI: 1.42-1.58) and prostate cancer (HR = 1.41, 95% CI: 1.31-1.52). In the single-pollutant and the co-pollutant models, the estimates for PM2.5 were stronger compared with NOx for all the investigated cancer sites. Our findings confirm the carcinogenicity of ambient air pollution on lung cancer and provide additional evidence for bladder, breast and prostate cancers. Further studies are needed to confirm our observation regarding prostate cancer. However, the need for more research should not be a barrier to implementing policies to limit the population's exposure to air pollution.