Background and objective: The prevalence of smoking among women in Taiwan is <5%, but the incidence of lung cancer remains high. This study determined the association between PM2.5 (fine particulate matter with an aerodynamic diameter of ≤2.5 μm) exposure and lung cancer among women in Taiwan. Methods: In total, 21,301 female lung cancer cases nationwide were newly diagnosed between 2012 and 2017. Each case was age-, sex- and calendar year-matched with four controls randomly selected from the general population. Allowing a latent period of 5 years, we estimated the PM2.5 and nitrogen dioxide (NO2) exposures for each individual according to the residential changes from 2000. We adopted self-reported smoking statuses for the cases, while those of controls were estimated using annual surveys in each residential county. We performed multiple logistic regression analyses to examine the associations between PM2.5 and NO2 exposures and incident lung cancer cases. Results: The ORs of lung adenocarcinoma for the third (30.5–35.1 μg/m3), fourth (35.1–39.3 μg/m3) and fifth PM2.5 exposure quintiles (39.3–48.1 μg/m3) relative to the first quintile were 1.10 (95% CI: 1.04–1.16), 1.12 (95% CI: 1.06–1.19) and 1.10 (95% CI: 1.04–1.16), respectively, after adjusting for smoking, residence and comorbidities. A dose–response relationship (p = 0.004) was found. The associations persisted with a 10-year latency and were not detected for small-cell and squamous cell carcinoma after control for smoking. We did not observe a similar effect for NO2 exposure. Conclusion: Residential PM2.5 exposure higher than 30 μg/m3 was associated with an increased risk of lung adenocarcinoma in women of Taiwan.