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Exposure to indoor air pollution increases the risk of pneumonia in children, accounting for about a million deaths globally. This study investigates the individual effect of solid fuel, carbon monoxide (CO), black carbon (BC) and particulate matter (PM)(2.5) on pneumonia in children under 5 in low- and middle-income countries. A systematic review was conducted to identify peer-reviewed and grey full-text documents without restrictions to study design, language or year of publication using nine databases (Embase, PubMed, EBSCO/CINAHL, Scopus, Web of Knowledge, WHO Library Database (WHOLIS), Integrated Regional Information Networks (IRIN), the World Meteorological Organization (WMO)-WHO and Intergovernmental Panel on Climate Change (IPCC). Exposure to solid fuel use showed a significant association to childhood pneumonia. Exposure to CO showed no association to childhood pneumonia. PM2.5 did not show any association when physically measured, whilst eight studies that used solid fuel as a proxy for PM2.5 all reported significant associations. This review highlights the need to standardise measurement of exposure and outcome variables when investigating the effect of air pollution on pneumonia in children under 5. Future studies should account for BC, PM1 and the interaction between indoor and outdoor pollution and its cumulative impact on childhood pneumonia.