BACKGROUND: Research examining associations between air pollution exposure and respiratory symptoms in adults has generally been inconclusive. This may be related in part to sample size issues, which also preclude analysis in potentially vulnerable subgroups. OBJECTIVES: We estimated associations between air pollution exposures and the prevalence of wheeze and shortness of breath using harmonized baseline data from two very large European cohorts, Lifelines (2006-2013) and UK Biobank (2006-2010). Our aim was also to determine whether the relationship between air pollution and respiratory symptom prevalence differed between individuals with different characteristics. METHODS: Cross-sectional analyses explored associations between prevalence of self-reported wheeze and shortness of breath and annual mean particulate matter with aerodynamic diameter <2.5μm, 2.5-10μm, and <10μm (PM2.5, PMcoarse, and PM10, respectively) and nitrogen dioxide (NO2) concentrations at place of residence using logistic regression. Subgroup analyses and tests for interaction were performed for age, sex, smoking status, household income, obesity status, and asthma status. RESULTS: All PM exposures were associated with respiratory symptoms based on single-pollutant models, with the largest associations seen for PM2.5 with prevalence of wheezing {odds ratio (OR)=1.16 per 5μg/m³ [95% confidence interval (CI): 1.11, 1.21]} and shortness of breath [OR=1.61 per 5μg/m³ (95% CI: 1.45, 1.78)]. The association between shortness of breath and a 5-μg/m³ increment in PM2.5 was significantly higher for individuals from lower-[OR=1.73 (95% CI: 1.52, 1.97)] versus higher-income households [OR=1.31 (95% CI: 1.11, 1.55); p-interaction=0.005), whereas the association between PM2.5 and wheeze was limited to lower-income participants [OR=1.30 (95% CI: 1.22, 1.38) vs. OR=1.02; (95% CI: 0.96, 1.08); p-interaction<0.001]. Exposure to NO2 also showed positive associations with wheeze and shortness of breath. CONCLUSION: Exposure to PM and NO2 air pollution was associated with the prevalence of wheeze and shortness of breath in this large study, with stronger associations between PM2.5 and both outcomes among lower- versus higher-income participants. https://doi.org/10.1289/EHP1353.