It has been suggested that air pollution may increase the risk of type 2 diabetes but data on particulate matter with diameter <2.5μm (PM2.5) are inconsistent. We examined the association between long-term exposure to PM2.5 and diabetes incidence. We used the Danish Nurse Cohort with 28,731 female nurses who at recruitment in 1993 or 1999 reported information on diabetes prevalence and risk factors, and obtained data on incidence of diabetes from National Diabetes Register until 2013. We estimated annual mean concentrations of PM2.5, particulate matter with diameter <10μm (PM10), nitrogen oxides (NOx) and nitrogen dioxide (NO2) at their residence since 1990 using a dispersion model and examined the association between the 5-year running mean of pollutants and diabetes incidence using a time-varying Cox regression. Of 24,174 nurses 1137 (4.7%) developed diabetes. We detected a significant positive association between PM2.5 and diabetes incidence (hazard ratio; 95% confidence interval: 1.11; 1.02–1.22 per interquartile range of 3.1μg/m3), and weaker associations for PM10 (1.06; 0.98–1.14 per 2.8μg/m3), NO2 (1.05; 0.99–1.12 per 7.5μg/m3), and NOx (1.01; 0.98–1.05 per 10.2μg/m3) in fully adjusted models. Associations with PM2.5 persisted in two-pollutant models. Associations with PM2.5 were significantly enhanced in never smokers (1.24; 1.09–1.42), and augmented in obese (1.25; 1.06–1.47) and subjects with myocardial infarction (1.32; 0.86–2.02), but without significant interaction. Fine particulate matter may the most relevant pollutant for diabetes development among women, and non-smokers, obese women, and heart disease patients may be most susceptible. •Evidence on association of PM2.5 with diabetes is inconsistent.•We linked residential PM2.5 to diabetes incidence in Danish Nurse Cohort.•We found 39% (4–86%) increased risk of diabetes per 10μg/m3 increase in PM2.5.•PM2.5 may be the most relevant pollutant for diabetes development.•Non-smokers, obese, and heart disease patients may be most susceptible.