Nowadays, PM2.5 concentrations greatly influence indoor air quality in subways and threaten passenger and staff health because PM2.5 not only contains heavy metal elements, but can also carry toxic and harmful substances due to its small size and large specific surface area. Exploring the physicochemical and distribution characteristics of PM2.5 in subways is necessary to limit its concentration and remove it. At present, there are numerous studies on PM2.5 in subways around the world, yet, there is no comprehensive and well-organized review available on this topic. This paper reviews the nearly twenty years of research and over 130 published studies on PM2.5 in subway stations, including aspects such as concentration levels and their influencing factors, physicochemical properties, sources, impacts on health, and mitigation measures. Although many determinants of station PM2.5 concentration have been reported in current studies, e.g., the season, outdoor environment, and station depth, their relative influence is uncertain. The sources of subway PM2.5 include those from the exterior (e.g., road traffic and fuel oil) and the interior (e.g., steel wheels and rails and metallic brake pads), but the proportion of these sources is also unknown. Control strategies of PM mainly include adequate ventilation and filtration, but these measures are often inefficient in removing PM2.5. The impacts of PM2.5 from subways on human health are still poorly understood. Further research should focus on long-term data collection, influencing factors, the mechanism of health impacts, and PM2.5 standards or regulations.