Air pollution is associated with a broad range of adverse health effects, including mortality and morbidity due to cardio‐ and cerebrovascular diseases (CCVD), but the molecular mechanisms involved are not entirely understood. This study aims to investigate the involvement of oxidative stress and inflammation in the causal chain, and to identify intermediate biomarkers that are associated retrospectively with the exposure and prospectively with the disease. We designed a case‐control study on CCVD nested in a cohort of 18,982 individuals from the EPIC‐Italy study. We measured air pollution, inflammatory biomarkers, and whole‐genome DNA methylation in blood collected up to 17 years before the diagnosis. The study sample includes all the incident CCVD cases among former‐ and never‐smokers, with available stored blood sample, that arose in the cohort during the follow‐up. We identified enrichment of altered DNA methylation in “ROS/Glutathione/Cytotoxic granules” and “Cytokine signaling” pathways related genes, associated with both air pollution (multiple comparisons adjusted p for enrichment ranging from 0.01 to 0.03 depending on pollutant) and with CCVD risk (P = 0.04 and P = 0.03, respectively). Also, Interleukin‐17 was associated with higher exposure to NO2 (P = 0.0004), NOx (P = 0.0005), and CCVD risk (OR = 1.79; CI 1.04–3.11; P = 0.04 comparing extreme tertiles). Our findings indicate that chronic exposure to air pollution can lead to oxidative stress, which in turn activates a cascade of inflammatory responses mainly involving the “Cytokine signaling” pathway, leading to increased risk of CCVD. Inflammatory proteins and DNA methylation alterations can be detected several years before CCVD diagnosis in blood samples, being promising preclinical biomarkers. Environ. Mol. Mutagen. 59:234–246, 2018. © 2017 Wiley Periodicals, Inc.