We aim to investigate to what extent a set of immune markers mediate the association between air pollution and adult-onset asthma. We considered long-term exposure to multiple air pollution markers and a panel of 13 immune markers in peripheral blood samples collected from 140 adult cases and 199 controls using a nested-case control design. We tested associations between air pollutants and immune markers and adult-onset asthma using mixed-effects (logistic) regression models, adjusted for confounding variables. In order to evaluate a possible mediating effect of the full set of immune markers, we modelled the relationship between asthma and air pollution with a partial least square path model. We observed a strong positive association of IL-1RA [OR 1.37; 95% CI (1.09, 1.73)] with adult-onset asthma. Univariate models did not yield any association between air pollution and immune markers. However, mediation analyses indicated that 15% of the effect of air pollution on risk of adult-onset asthma was mediated through the immune system when considering all immune markers as a latent variable (path coefficient (β) = 0.09; 95% CI: (-0.02, 0.20)). This effect appeared to be stronger for allergic asthma (22%; β = 0.12; 95% CI: (-0.03, 0.27)) and overweight subjects (27%; β = 0.19; 95% CI: (-0.004, 0.38)). Our results provides supportive evidence for a mediating effect of the immune system in the association between air pollution and adult-onset asthma.