Objective To explore the association between air particulate pollutants and hospital admissions for depressive episodes. Methods The data of 4,654 patients admitted to the Third People's Hospital of Qinzhou, Guangxi, for depressive episodes from January 2019 to December 2023 were collected, the data of air particulate pollutants [PM2.5 (fine particulate matter), PM10 (inhalable particulate matter)] and meteorological factors (mean temperature, relative humidity) in Qinzhou during the same period were collected, and the distributed lag nonlinear model (DLNM) was established by R software to analyze the impacts and lag effects of PM2.5 and PM10 on the hospital admissions for depressive episodes. Results A total of 4,654 patients were admitted to the Third People's Hospital of Qinzhou, Guangxi, for depressive episodes, with an average daily hospital admission of 3 cases. In terms of sex distribution, 1,696 (36.44%) cases were males and 2,958 (63.56%) were females, with the gender ratio of males to females as 1∶1.74. In terms of age distribution, 1,501 (32.25%) cases aged younger than 18, 2,836 (60.94%) cases aged from 18 to 60, and 317 (6.81%) cases aged older than 60. The daily average concentration of PM2.5 was 25.68 μg/m3, the daily average concentration of PM10 was 45.07 μg/m3, the mean temperature was 22.69°C, and the daily relative humidity was 81.84%. For the impact of PM2.5 on the hospital admissions for depressive episodes, the RR was over 1.00 when laging 18 to 26 days (lag18~lag26) (all P<0.05), and the RR reached the highest at lag26 [1.031 22 (1.001 48~1.061 85)]. For the impact of PM10 on the hospital admissions for depressive episodes, the RR was over 1.00 at lag3~lag9 (all P<0.05), and the RR reached the highest at lag3 [1.034 82 (1.001 75, 1.068 99)]. The cumulative lag effect of PM10 on the hospital admissions for depressive episodes was the highest at lag0~28 [RR: 1.947 84 (1.049 16~3.616 31)]. Under PM2.5 exposure, the risks of hospital admissions for depressive episodes of males, females, and people older than 60 gradually increased with the cumulative lag days increasing. Under PM10 exposure, being males, cold weather, and being older than 60 gradually increased the risks for hospital admissions for depressive episodes with the cumulative lag days increasing. Conclusion PM2.5 and PM10 exposure can increase the risks for hospital admissions for depressive episodes, which is a long-term effect.