Exposures to fine particulate matter (PM2.5) and nitrogen dioxide (NO2) have been associated with the emergence of depressive symptoms in older adulthood, although most studies used cross-sectional outcome measures. Elucidating the brain structures mediating the adverse effects can strengthen the causal role between air pollution and increasing depressive symptoms. We evaluated whether smaller volumes of brain structures implicated in late-life depression mediate associations between ambient air pollution exposure and changes in depressive symptoms. This prospective study included 764 community-dwelling older women (aged 81.6 ± 3.6 in 2008-2010) from the Women's Health Initiative Memory Study (WHIMS) Magnetic Resonance Imaging study (WHIMS-MRI; 2005-06) and WHIMS-Epidemiology of Cognitive Health Outcomes (WHIMS-ECHO; 2008-16). Three-year average annual mean concentrations (scaled by interquartile range [IQR]) of ambient PM2.5 (in μg/m3; IQR = 3.14 μg/m3) and NO2 (in ppb; IQR = 7.80 ppb) before WHIMS-MRI were estimated at participants' addresses via spatiotemporal models. Mediators included structural brain MRI-derived grey matter volumes of the prefrontal cortex and structures of the limbic-cortical-striatal-pallidal-thalamic circuit. Depressive symptoms were assessed annually by the 15-item Geriatric Depression Scale. Structural equation models were constructed to estimate associations between exposure, structural brain volumes, and depressive symptoms. Increased exposures (by each IQR) were associated with greater annual increases in depressive symptoms (βPM2.5 = 0.022; 95% Confidence Interval (CI) = 0.003, 0.042; βNO2 = 0.019; 95% CI = 0.001, 0.037). The smaller volume of prefrontal cortex associated with exposures partially mediated the associations of increased depressive symptoms with NO2 (8%) and PM2.5 (13%), and smaller insula volume associated with NO2 contributed modestly (13%) to the subsequent increase in depressive symptoms. We demonstrate the first evidence that the smaller volumes of the prefrontal cortex and insula may mediate the subsequent increases in depressive symptoms associated with late-life exposures to NO2 and PM2.5.