BACKGROUND: Ambient air pollution exposure has been associated with childhood asthma, but previous studies have primarily focused on prevalence of asthma and asthma-related outcomes and urban traffic-related exposures. OBJECTIVE: We examined nationwide associations between pre- and postnatal exposure to ambient air pollution components and asthma incidence in children age 0-19 y. METHODS: Asthma incidence was identified from hospital admission, emergency room, and outpatient contacts among all live-born singletons born in Denmark between 1998 and 2016. We linked registry data with monthly mean concentrations of particulate matter (PM) with aerodynamic diameter ≤2.5µm (PM2.5) and PM with aerodynamic diameter ≤10µm (PM10), nitrogen dioxide (NO2), nitrogen oxides, elemental carbon, and organic carbon (OC), sulfur dioxide, ozone, sulfate, nitrate, ammonium, secondary organic aerosols, and sea salt. Associations were estimated with Cox proportional hazard models using fixed prenatal exposure means and time-varying postnatal exposures. RESULTS: Of the 1,060,154 children included, 6.1% had asthma during the mean follow-up period of 8.8 y. The risk of asthma increased with increasing prenatal exposure to all pollutants except for O3 and sea salt. We also observed increased risk after restriction to asthma after age 4 y, after additional adjustment for area-specific socioeconomic status, and for postnatal exposure to most pollutants. The hazard ratio (HR) associated with an interquartile range increase of 2.4 and 8.7 µg/m3 in prenatal exposure was 1.06 [95% confidence interval (CI): 1.04, 1.08] for PM2.5 and 1.04 (95% CI: 1.02, 1.05) for NO2, respectively. This association with PM2.5 was stable after adjustment for NO2, whereas it attenuated for NO2 to 1.01 (95% CI: 0.99, 1.03) after adjustment for PM2.5. For a 0.5-µg/m3 increase in prenatal OC exposure, for which biomass is an important source, the HR was 1.08 (95% CI: 1.06, 1.10), irrespective of adjustment for PM2.5. DISCUSSION: These findings suggest that early-life exposure to ambient air pollution from multiple sources contributes to asthma development. https://doi.org/10.1289/EHP11539.