The World Health Organization estimates 3.7 million deaths in 2012 in low- and middle-income Asian countries due to outdoor air pollution. However, these estimates do not account for the higher exposures of specific particulate matter (PM) components – including fine particles (PM2.5), ultrafine particles (UFP) and black carbon (BC) – typical of transport microenvironments (TMEs). With the rapidly growing number of on-road vehicles in Asia, human exposure to PM is an increasing concern. The aim of this review article is to comprehensively assess the PM2.5, UFP, and BC related studies in Asian TMEs to understand the extent of exposure, the underlying factors leading to such exposure, and how Asian exposures compare to those found in Europe and the United States of America (USA). Pollutants considered and their health impacts are identified, along with the key factors that influence personal exposure in TMEs. We also characterised the human exposure to PM2.5, UFP, and BC in TMEs (walk, cycle, car, and bus) in cities of Asia, Europe, and the USA. Instrumentation and measurement methods, exposure modeling techniques, and regulation are reviewed for PM2.5, UFP, and BC. Relatively few studies have been carried out in urban Asian TMEs (i.e., walk, cycle, car, and bus) where PM2.5, UFP, and BC had generally higher concentrations compared to Europe and USA. Based on available data, PM2.5 concentrations while walking were 1.6 and 1.2 times higher in Asia (average 42μgm−3) compared to Europe (26μgm−3) and the USA (35μgm−3), respectively. Likewise, average PM2.5 concentrations in car (74μgm−3) and bus (76μgm−3) modes in Asia were approximately two to three times higher than in Europe and the USA. UFP exposures in Asia were twice as high for pedestrians and up to ∼9-times as high in cars than in Europe or the USA. Asian pedestrians were exposed to ∼7-times higher BC concentrations compared with pedestrians in the USA. Stochastic population-based models have yet to be applied widely in Asia but can be used to quantify inter-individual and inter-regional variability in exposures and to assess the contribution of TMEs to total exposures for multiple pollutants. The review also highlights specific gaps in the data set that need to be filled by future research as UFP and BC studies were rare as were studies of pedestrian and cyclist exposure in Asian TMEs.