Background: Exposure to fine particulate matter (PM2.5) impairs cognition, while physical activity (PA) improves cognitive function. However, whether taking PA with PM2.5 exposure is still beneficial to cognition remains unknown. Methods: We utilized national representative longitudinal data from the China Family Panel Study (CFPS), comprising a total sample of 108,099 from 2010 to 2018 in three waves. Cognitive performance and leisure-time PA were measured using the standard cognitive module and Godin-Shephard Leisure-Time Physical Activity Questionnaire. Gridded overall PM2.5 and major chemical components of PM2.5 were estimated using a two-stage machine learning model and matched to each participant based on their residential location. Mixed-effect models and difference-in-difference models were employed to investigate the individual and joint effects of total PM2.5, PM2.5 components, and leisure-time PA on cognition. Results: Every 1 μg/m3 increase in PM2.5 was associated with a −0.035 (95% confidence interval [CI] = −0.052, −0.018) point change in cognitive score. All PM2.5 components exhibited negative associations with cognitive change, with black carbon (BC) contributing the most significant cognitive decline (β = −1.025, 95% CI = −1.367, −0.683). Every one-time (or one-hour) increase in leisure-time PA frequency (or PA time) per week was associated with an increase in cognitive score by 0.576 (0.270) points (PA frequency: 95% CI = 0.544, 0.608, PA time: 95% CI = 0.248, 0.293). PA frequency (β = −0.005, 95% CI = −0.006, −0.003) and PA time (β = −0.002, 95% CI = −0.003, −0.001) exhibited interactive effects with PM2.5. Increased PA frequency and time were more beneficial to cognitive function in the low PM2.5 exposure group compared to those exposed to high PM2.5 levels. Moreover, relative to lower PM2.5 exposure, the cognitive benefits of physically active individuals with higher PM2.5 exposure were attenuated but still improved cognition when compared to those with no PA. Conclusion: Engaging in leisure-time PA provides cognitive benefits even under PM2.5 exposure, although PM2.5 exposure attenuates these benefits. Among all PM2.5 components, BC demonstrated the most significant cognitive hazard and interaction with leisure-time PA. Promoting PA as a preventive measure may offer a cost-effective and convenient strategy to mitigate the negative impact of PM2.5 exposure on cognition. There is no excuse to avoid PA under PM2.5 exposure, as its cognitive benefits persist even in polluted environments.
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