This study examines how air pollution impacts mental health outcomes- such as depression, anxiety, and stress- in two Bangladeshi cities: Dhaka, a highly polluted urban center, and Rajshahi, a city with lower pollution levels. Using a cross-sectional approach, 2717 participants were assessed, including 1,431 from Dhaka and 1286 from Rajshahi. Data collection involved secondary sources and surveys evaluating environmental pollutants (PM2.5, PM10, NO2, CO, SO2, Ozone), self-reported exposure, and mental health status using the DASS-21 scale. The analysis used descriptive statistics, multiple linear regression, multilevel analysis, and structural equation modeling (SEM) to explore the links between air pollution and mental health, adjusting for factors such as age, income, and residence. Results reveal significantly higher rates of mental health issues in Dhaka compared to Rajshahi: 57.3% of Dhaka residents reported depression and anxiety, and 48.3% reported stress, whereas rates in Rajshahi were lower at 37.4%, 38.3%, and 32.1%, respectively. Higher exposure to pollutants- such as PM2.5, PM10, NO2, CO, SO2, and O3- was strongly tied to increased depression, anxiety, and stress. For example, high PM2.5 exposure was linked to 57.3% experiencing moderate to severe mental health issues versus 37.4% in lower exposure groups. Similar trends were seen with other pollutants. Self-reported exposure and perceived air quality were also significant predictors, with Dhaka residents experiencing more severe distress. These findings highlight the widespread mental health problems connected to air pollution, emphasizing the urgent need for public health measures in highly polluted areas to reduce psychological stress and improve urban well-being.