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Background: The urban ambient air quality has been largely improved in the past decade. It is unknown whether childhood asthma prevalence is still increasing in ever top‐ranking city of Shanghai, whether the improved air quality is beneficial for children's asthma and what time window of exposure plays critical roles. Methods: Using a repeat cross‐sectional design, we analyzed the association between early life exposure to particles and wheezing/asthma in each individual and combined surveys in 2011 and 2019, respectively, in 11,825 preschool children in Shanghai. Results: A significantly lower prevalence of doctor‐diagnosed asthma (DDA) (6.6% vs. 10.5%, p < 0.001) and wheezing (10.5% vs. 23.2%, p < 0.001) was observed in 2019 compared to 2011. Exposure to fine particulate matter (PM2.5), coarse particles (PM2.5–10) and inhalable particles (PM10) was decreased in 2019 by 6.3%, 35.4%, and 44.7% in uterus and 24.3%, 20.2%, and 31.8% in infancy, respectively. Multilevel log‐binomial regression analysis showed exposure in infancy had independent association with wheezing/DDA adjusting for exposure in uterus. For each interquartile range (IQR) increase of infancy PM2.5, PM2.5–10 and PM10 exposure, the odds ratios were 1.39 (95% confidence interval (CI): 1.24–1.56), 1.51 (95% CI:1.15–1.98) and 1.53 (95% CI:1.27–1.85) for DDA, respectively. The distributed lag non‐linear model showed the sensitive exposure window (SEW) was 5.5–11 months after birth. Stratified analysis showed the SEWs were at or shortly after weaning, but only in those with <6 months of exclusive breastfeeding. Conclusions: Improved ambient PM benefits in decreasing childhood asthma prevalence. We firstly reported the finding of SEW to PM at or closely after weaning on childhood asthma. [ABSTRACT FROM AUTHOR]