Observational evidence reported that air pollution is a significant risk element for numerous health problems, such as obesity and coronavirus disease 2019 (COVID-19), but their causal relationship is currently unknown. Our objective was to probe the causal relationship between air pollution, obesity, and COVID-19 and to explore whether obesity mediates this association. We obtained instrumental variables strongly correlated to air pollutants [PM2.5, nitrogen dioxide (NO2) and nitrogen oxides (NOx)], 9 obesity-related traits (abdominal subcutaneous adipose tissue volume, waist-to-hip ratio, body mass index, hip circumference, waist circumference, obesity class 1-3, visceral adipose tissue volume), and COVID-19 phenotypes (susceptibility, hospitalization, severity) from public genome-wide association studies. We used clinical and genetic data from different public biological databases and performed analysis by two-sample and two-step Mendelian randomization. PM2.5 genetically correlated with 5 obesity-related traits, which obesity class 1 was most affected (beta = 0.38, 95% CI = 0.11 - 0.65, p = 6.31E-3). NO2 genetically correlated with 3 obesity-related traits, which obesity class 1 was also most affected (beta = 0.33, 95% CI = 0.055 - 0.61, p = 1.90E-2). NOx genetically correlated with 7 obesity-related traits, which obesity class 3 was most affected (beta = 1.16, 95% CI = 0.42-1.90, p = 2.10E-3). Almost all the obesity-related traits genetically increased the risks for COVID-19 phenotypes. Among them, body mass index, waist circumference, hip circumference, waist-to-hip ratio, and obesity class 1 and 2 mediated the effects of air pollutants on COVID-19 risks (p < 0.05). However, no direct causal relationship was observed between air pollution and COVID-19. Our study suggested that exposure to heavy air pollutants causally increased risks for obesity. Besides, obesity causally increased the risks for COVID-19 phenotypes. Attention needs to be paid to weight status for the population who suffer from heavy air pollution, as they are more likely to be susceptible and vulnerable to COVID-19.