Air pollution is a global concern, especially in cities and urban areas, and has many implications for human health and for the environment. In common with other industrial sectors, the construction industry emits air pollutants. In scientific literature, the contribution the construction industry makes to air pollution is underexposed. This systematic literature review (SLR) paper gives an overview of the current literature regarding air pollution within the construction industry. Air pollution is discussed focusing mainly on three levels: (i) buildings and their building life cycle stages, (ii) construction processes and components, and (iii) building material and interior. The final sample of the SLR comprises 161 scientific articles addressing different aspects of the construction industry. The results show that most articles address the use stage of a building. Particulate matter in different sizes is the most frequently examined air pollutant within the SLR. Moreover, about a third of the articles refer to indoor air pollution, which shows the relevance of the topic. The construction industry can help to develop a healthier built environment and support the achievement of cleaner air within various life cycle stages, e.g., with optimized construction processes and healthier materials. International agreements and policies such as the Sustainable Development Goals (SDGs) can support the sustainable development of the construction industry.