There is evidence that PM2.5 could be obesogenic. Lima is one of the most polluted cities in South America, with an increasing prevalence of childhood obesity. This study aimed to determine the association between PM2.5 exposure of children aged 6 to 59 months and being overweight or obese (O/O) in a significant dataset survey. Cases were defined when weight for height Z-score (WHZ) was >2 standard deviations (SD) from the mean, for each sex. A control was defined when WHZ was between ±2 SD. We used a conditional logistic regression model to calculate the odds ratio (OR) between extrauterine and intrauterine PM2.5 exposure and O/O. Extrauterine PM2.5 exposure was evaluated as a 6-month PM2.5 mean prior to the survey. We found a significant association between O/O and extrauterine (OR: 1.57, 1.51–1.63) and intrauterine (OR: 1.99, 1.88–2.12) PM2.5 exposure for an increment of 10 μg/m3. The ORs increased as the quartile increased in both exposures. We observed a higher association in children aged 6–11 months (OR: 3.07, 2.84–3.31). In conclusion, higher levels of PM2.5 in Lima and Callao were associated with cases of O/O in children from 6 to 59 months, with the association higher for prenatal exposure.