Classic studies usually link air pollution with lung conditions.
I find this recent study extremely interesting though:
Researchers from Vrije Universiteit Brussel in Belgium split a group
of 24 runners into two groups: those from urban areas and those from
rural areas.
During a 12-week period, the two groups were asked to run three days a
week around noon. One group exercised in a rural area, the other group
in a busy urban setting. Then, researchers gave the subjects a test to
measure their response time and attention span.
They found that those that ran in the city had lower IQ scores and had
a higher risk of brain inflammation, according to the Daily Mail.
Says http://www.everydayhealth.com/fitness/1212/jogging-outside-could-make-you-dumber-6432.aspx
The original study can be found here:
Bos, Inge, et al. "Subclinical effects of aerobic training in urban environment." Med Sci Sports Exerc 45.3 (2013): 439-47.
If we check the references of this article, we can find some other interesting ones:
os I, Jacobs L, Nawrot TS, et al. No exercise-induced increase in serum BDNF after
cycling near a major traffic road. Neurosci Lett.2011; 500(2):129-32.
Int Panis L, de Geus B, Vandenbulcke G, et al. Exposure to particulate matter in traffic: A comparison of cyclists and car passengers. Atmos Environ. 2010. 44...
etc