Novel coronavirus (COVID) outbreak is the deadliest pandemic in our lifetime. The COVID prevalence risk may be enhanced due to comorbidity from other health risk factors like air pollution. However, such evidence is still lacking in India. Using daily confirmed cases, ambient PM2.5 (fine particulate matter) exposure and meteorological parameters from 28 major states of India between March 14-June 9, 2020, in a generalized additive model, we estimate the association between short-term PM2.5 exposure and daily COVID confirmed cases. We find that a 10 mg m-3 increase in ambient PM2.5 exposure (with a lag of 0-14 days) is significantly associated with an increased COVID incidence [relative risk (RR) of 1.135 (95% uncertainty interval: 1.091-1.180)] after adjusting for the meteorological factors. A non-linear association between PM2.5 (lag 0-14) and COVID infection predicts an RR of 4.482 (3.357-5.983) for exposure at 60 mg m-3 relative to 25 mg m-3. Our results indicate a significant positive association between ambient PM2.5 exposure and COVID prevalence in India. As India is easing lockdown measures, higher outdoor air pollution may have implications on COVID transmission, information which can be helpful for general public and policymakers alike.