Individual-level studies with adjustment for important COVID-19 risk factors suggest positive associations of long-term air pollution exposure (particulate matter and nitrogen dioxide) with COVID-19 infection, hospitalisations and mortality. The evidence, however, remains limited and mechanisms unclear. We aimed to investigate these associations within UK Biobank, and to examine the role of underlying chronic disease as a potential mechanism. UK Biobank COVID-19 positive laboratory test results were ascertained via Public Health England and general practitioner record linkage, COVID-19 hospitalisations via Hospital Episode Statistics, and COVID-19 mortality via Office for National Statistics mortality records from March-December 2020. We used annual average outdoor air pollution modelled at 2010 residential addresses of UK Biobank participants who resided in England (n = 424,721). We obtained important COVID-19 risk factors from baseline UK Biobank questionnaire responses (2006-2010) and general practitioner record linkage. We used logistic regression models to assess associations of air pollution with COVID-19 outcomes, adjusted for relevant confounders, and conducted sensitivity analyses. We found positive associations of fine particulate matter (PM2.5) and nitrogen dioxide (NO2) with COVID-19 positive test result after adjustment for confounders and COVID-19 risk factors, with odds ratios of 1.05 (95% confidence intervals (CI) = 1.02, 1.08), and 1.05 (95% CI = 1.01, 1.08), respectively. PM 2.5 and NO 2 were positively associated with COVID-19 hospitalisations and deaths in minimally adjusted models, but not in fully adjusted models. No associations for PM10 were found. In analyses with additional adjustment for pre-existing chronic disease, effect estimates were not substantially attenuated, indicating that underlying chronic disease may not fully explain associations. We found some evidence that long-term exposure to PM2.5 and NO2 was associated with a COVID-19 positive test result in UK Biobank, though not with COVID-19 hospitalisations or deaths.