Air pollution remains one of the major health threats around the world. Compared to adults, foetuses and infants are more vulnerable to the effects of environmental toxins. Maternal exposure to air pollution causes several adverse birth outcomes and may lead to life-long health consequences. Given that a healthy intrauterine environment is a critical factor for supporting normal foetal brain development, there is a need to understand how prenatal exposure to air pollution affects brain health and results in neurological dysfunction. This review summarised the current knowledge on the adverse effects of prenatal air pollution exposure on early life neurodevelopment and subsequent impairment of cognition and behaviour in childhood, as well as the potential of early-onset neurodegeneration. While inflammation, oxidative stress, and endoplasmic reticulum are closely involved in the physiological response, sex differences also occur. In general, males are more susceptible than females to the adverse effect of in-utero air pollution exposure. Considering the evidence provided in this review and the rising concerns of global air pollution, any efforts to reduce pollutant emission or exposure will be protective for the next generation.