Anemia affects 1.62 billion people worldwide. Although iron deficiency is the main cause of anemia, several other factors may explain its high prevalence. In this study, we sought to analyze the association between outdoor particulate matter PM2.5 levels with anemia prevalence in children aged 6-59 months residing in Lima, Peru (n = 139,368), one of the cities with the worst air pollution in Latin America. The study period was from 2012 to 2016. Anemia was defined according to the World Health Organization (Hb < 11 g/dL). PM2.5 values were estimated by a mathematical model that combined data observed from monitors, with satellite and meteorological data. PM2.5 was analyzed by quintiles. Multiple linear and logistic regressions were used to estimate the associations between hemoglobin concentration (beta) and anemia (odds ratio) with PM2.5, after adjusting by covariates. Prevalence of anemia was 39.6% (95% confidence interval (CI): 39.3-39.9). Mild anemia was observed in 30.8% of children and moderate/severe in 8.84% of children. Anemic children compared with nonanemic children are mainly males, have low body weight, higher rate of stunting, and live in an environment with high PM2.5 concentration. A slight decrease in hemoglobin (4Q B: -0.03, 95% CI: -0.05 to -0.02; 5Q B: -0.04, 95% CI: -0.06 to -0.01) and an increase in the probability of moderate/severe anemia (4Q OR: 1.18, 95% CI: 1.10-1.27; 5Q OR: 1.18, 95% CI: 1.08-1.29) were observed with increased exposure to PM2.5. We conclude that outdoor PM2.5 levels were significantly associated with decreased hemoglobin values and an increase in prevalence of moderate/severe anemia in children under 5 years old.