It remains unknown how fine particulate matter (PM2.5) constituents affect differently the fractional concentration of exhaled nitric oxide (FeNO, a biomarker of airway inflammation) and the DNA methylation of its encoding gene (NOS2A). We aimed to investigate the short-term effects of PM2.5 constituents on NOS2A methylation and FeNO. We designed a longitudinal study among chronic obstructive pulmonary disease (COPD) patients with six repeated health measurements in Shanghai, China. We applied linear mixed-effect models to evaluate the associations. We observed that the inverse association between PM2.5 and methylation at position 1 was limited within 24 h, and the positive association between PM2.5 and FeNO was the strongest at lag 1 day. Organic carbon, element carbon, NO3(-) and NH4(+) were robustly and significantly associated with decreased methylation and elevated FeNO. An interquartile range increase in total PM2.5 and the four constituents was associated with decreases of 1.19, 1.63, 1.62, 1.17, and 1.14 in percent methylation of NOS2A, respectively, and increases of 13.30%,16.93%, 8.97%, 18.26%, and 11.42% in FeNO, respectively. Our results indicated that organic carbon, element carbon, NO3(-) and NH4(+) might be mainly responsible for the effects of PM2.5 on the decreased NOS2A DNA methylation and elevated FeNO in COPD patients.