The combined effects of early-life exercise and air pollution on childhood asthma and wheeze remain unclear, particularly during and after the COVID-19 epidemic. We aim to examine the joint impacts of paternal, maternal, and childhood exercise habits and air pollutant exposures on asthma and wheeze in children. We analyzed 20,730 valid questionnaires from five Chinese cities (2022–2023), covering individual characteristics, health outcomes, and household environments. Multilevel (city-family) logistic regression assessed the associations of paternal (preconceptional), maternal (preconceptional and prenatal), and childhood (postnatal) exercise, along with early-life air pollution exposure, with childhood asthma and wheeze. We found that paternal running and ball sports before conception reduced offspring’s wheeze risk (OR [95% CI] = 0.70 [0.54–0.91] and 0.47 [0.23–0.97]). Maternal walking before pregnancy was linked to reduced asthma risk (0.37 [0.16–0.85]); however, maternal daytime exercise and prolonged meditation increased asthma/wheeze risk, while exercise during periods typically characterized by lower pollution levels (such as afternoon and nighttime in our study setting) was associated with reduced risk. Childhood exercise decreased asthma and wheeze risk (0.29 [0.14–0.63] and 0.57 [0.36–0.90]), especially when performed longer and during the day. Exposure to PM2.5–10 in the first trimester and PM2.5 in the second trimester were associated with asthma, while exposure to NO2 before pregnancy and PM10 in the third trimester were associated with wheeze. Particulate matter exposure modified the effects of parental and childhood exercise, suggesting a potential “exercise–pollution interaction”. This study indicates that exercise habits across preconceptional, prenatal, and postnatal periods, combined with air pollution exposures, independently and interactively may influence childhood asthma and wheeze.