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Air pollution may increase cardiovascular and respiratory risk through inflammatory pathways, but evidence for acute effects has been weak and indirect. Between December 2014 and July 2015, we enrolled 36 healthy, nonsmoking college students for a panel study in Shanghai, China, a city with highly variable levels of air pollution. We measured personal exposure to particulate matter with an aerodynamic diameter less than or equal to 2.5 μm (PM2.5) continuously for 72 hours preceding each of 4 clinical visits that included phlebotomy. We measured 4 inflammation proteins and DNA methylation at nearby regulatory cytosine-phosphate-guanine (CpG) loci. We applied linear mixed-effect models to examine associations over various lag times. When results suggested mediation, we evaluated methylation as mediator. Increased PM2.5 concentration was positively associated with all 4 inflammation proteins and negatively associated with DNA methylation at regulatory loci for tumor necrosis factor alpha (TNF-α) and soluble intercellular adhesion molecule-1. A 10-μg/m3 increase in average PM2.5 during the 24 hours preceding blood draw corresponded to a 4.4% increase in TNF-α and a statistically significant decrease in methylation at one of the two studied candidate CpG loci for TNF-α. Epigenetics may play an important role in mediating effects of PM2.5 on inflammatory pathways.