Fine particulate matter (PM2.5) has been a global environmental problem threatening public health in recent years. PM2.5 exposure was associated with an increased risk of neurodegenerative diseases related to neuronal apoptosis. Ferroptosis is a nonapoptotic form of programmed the cell death, characterized by excess iron‐dependent lipid peroxidation products. Whether PM2.5 could induce ferroptosis in cells and thus be involved in its neurotoxicity is unknown. In this study, we found that PM2.5 induced endoplasmic reticulum stress, apoptosis, autophagy, and ferroptosis in neuroblastoma human neuroblastoma cells (SH‐SY5Y). Interestingly, ferroptosis was the predominant form of mortality in the presence of high doses of PM2.5 exposure. In addition, the endoplasmic reticulum stress inhibitor 4‐phenylbutyric acid (4‐PBA) inhibited PM2.5‐induced cellular autophagy, apoptosis, and ferroptosis. Autophagy inhibitors chloroquine (CQ) alleviated PM2.5‐induced ferroptosis but did not reverse apoptosis. We also found that inhibition of both endoplasmic reticulum stress and autophagy reversed the PM2.5‐induced increase in the expression level of cytophagy nuclear receptor coactivator 4 (NCOA4). Our results suggested that PM2.5‐induced ferroptosis in SH‐SY5Y cells was autophagy‐dependent ferroptosis due to endoplasmic reticulum stress, which might be associated with the elevation of iron content caused by NCOA4‐mediated ferritin autophagy.