Objectives: This study assessed the effectiveness of a cognitive behavioral therapy (CBT)- based fine dust education program, grounded in the Health Belief Model (HBM), on elementary students’ fine dust knowledge, related behaviors, and mental health (depression, anxiety, stress, sleep quality). Methods: From September to November 2024, 95 students (grades 4–6) living near a coal-fired power plant in midwestern South Korea were assigned to either an intervention group (n = 44) or a control group (n = 51). The intervention group completed a three-session CBT-based education program; the control group received stress management education. Assessments were conducted at weeks 1, 2, 4, and 8 using standardized mental health and behavior scales (PHQ: Patient Health Questionnaire, GAD: Generalized Anxiety Disorder Assessment, PSS: Perceived Stress Scale, ISI: Insomnia Severity Index). Results: A chi-square test was conducted to compare pre- and post-test changes in knowledge and behavior related to PM2.5. The intervention group showed significant improvements in seven fine dust-related knowledge and behavior items (e.g., PM2.5 awareness rose from 33.3% to 75.0%; p < 0.05). The control group showed limited gains. Regarding mental health, based on a mixed-design ANCOVA, anxiety scores significantly declined over time in the intervention group, with group and interaction effects also significant (p < 0.05). Depression scores showed time effects, but group and interaction effects were not significant. No significant changes were observed for stress, sleep, or group × PM2.5 interactions. Conclusions: The CBT-based education program effectively enhanced fine dust knowledge, health behaviors, and reduced anxiety among students. It presents a promising, evidence-based strategy to promote environmental and mental health in school-aged children. Children