This study investigates the relationship between perceived and actual pollution and mental health, emphasizing how exposure illusion and exposure neglect may contribute to mental health. The research draws on a representative sample of 16,607 Chinese residents, examining the associations between perceived and actual pollution and mental health outcomes, including depression, anxiety, and stress. The study utilizes a generalized linear mixed model, incorporating various pollution conditions, gender, age, education, and urbanization as fixed effects, while the provinces are treated as random effects. The results indicate that even in the absence of high levels of actual pollution, the mere perception of pollution is associated with increased levels of depression (β = 0.51, OR = 1.66, p<.001), anxiety (β = 0.43, OR = 1.54, p<.001), and stress (β=0.30, OR = 1.35, p<.001) among residents. When residents’ perception of pollution aligns with actual pollution levels, the negative effects on mental health appear to be more pronounced (depression: β = 0.90, OR = 2.46, p<.001; anxiety: β = 0.96, OR = 2.60, p<.001; stress: β = 0.56, OR = 1.76, p<.001). These findings demonstrate that perceived pollution may play a primary role in its association with mental health compared to actual pollution. It is important to emphasize that this study is cross-sectional, and thus it cannot establish causal conclusions regarding perceived pollution leading to mental health issues. Furthermore, only air pollution was used as an indicator of actual pollution, which may limit the generalizability of our findings.