OBJECTIVE Wintertime thermal inversions in narrow mountain valleys create a ceiling effect, increasing concentration of small particulate matter (PM2.5). Despite potential health risks, many people continue to exercise outdoors in thermal inversions. This study measured the effects of ambient PM2.5 exposure associated with a typical thermal inversion on exercise performance, pulmonary function, and biological markers of inflammation. METHODS Healthy, active adults (5 males, 11 females) performed two cycle ergometer time trials outdoors in a counterbalanced design: 1) low ambient PM2.5 concentrations (<12 μg/m3), and 2) an air quality index (AQI) ranking of "yellow." Variables of interest were exercise performance, exhaled nitric oxide (eNO), c-reactive protein (CRP), forced vital capacity (FVC), and forced expiratory volume in 1 s (FEV1). RESULTS Despite a significant difference in mean PM2.5 concentration of 9.3 ± 3.0 μg/m3 between trials (p < .001), there was no significant difference (p = .424) in the distance covered during low PM2.5 conditions (9.9 ± 1.7 km) compared to high PM2.5 conditions (10.1 ± 1.5 km). There were no clinically significant differences across time or between trials for eNO, CRP, FVC, or FEV1. Additionally, there were no dose-response relationships (p > .05) for PM2.5 concentration and the measured variables. CONCLUSIONS An acute bout of vigorous exercise during an AQI of "yellow" did not diminish exercise performance in healthy adults, nor did it have a negative effect on pulmonary function or biological health markers. These variables might not be sensitive to small changes from acute, mild PM2.5 exposure.