Dust and fumes are complex mixtures of airborne gases and fine particles present in all environments inhabited by people. This study investigated the relationship between occupational dust exposure levels and mental health problems such as depression or anxiety, fatigue, and insomnia or sleep disturbance. We analyzed data from the third and fourth Korean Working Conditions Survey (KWCS) conducted by the Korea Occupational Safety and Health Agency in 2011 and 2014. We performed chi-square tests to compare the different baseline and occupational characteristics and mental health status according to occupational dust exposure levels. The odds ratio (OR) and 95% confidence intervals (95% CIs) for mental health symptoms (fatigue, depression or anxiety, and insomnia or sleep disturbance) were calculated using adjusted multiple logistic regression models. A total of 78,512 participants (43,979 in men, 34,533 in women) were included in this study. Among them, 6,013 (7.7%) and 2,625 (3.3%) reported “moderate” and “severe” dust exposure, respectively. Among those who answered “yes” to depression or anxiety, fatigue, insomnia or sleep disturbance, 50 (4.6%), 961 (4.8%), and 123 (5.9%), respectively, demonstrated “severe” occupational dust exposure. Compared to “low” levels of dust exposure, “moderate” and “severe” exposure increased the risk of depression and anxiety (OR = 1.09, 95%CI: 0.88-1.36; OR = 1.16, 95%CI: 0.87-1.58, per exposure respectively); however, this was not statistically significant. For fatigue, significance was observed for “moderate” 1.54 (1.46-1.64) and “severe” 1.65 (1.52-1.80) exposure levels. “Severe” levels increased the risk of insomnia or sleep disturbance (OR = 1.52, 95%CI: 1.25-1.85). These results suggest that the “dust annoyance” concept of mental health, which may be explained by a neurocognitive mechanism, is plausible. Occupational “dust annoyance” has been linked to workers’ mental health status, particularly in terms of fatigue and sleep disturbance; a dose-response relationship has been observed. Workers should be protected against dust to support their health and productivity.