This study investigated the risk of lung and bladder cancers in people residing in proximity of a coal-oil-fired thermal power plant in an area of north-eastern Italy, covered by a population-based cancer registry. Incidence rate ratios (IRR) by sex, age, and histology were computed according to tertiles of residential exposure to benzene, nitrogen dioxide (NO2), particular matter, and sulfur dioxide (SO2) among 1076 incident cases of lung and 650 cases of bladder cancers. In men of all ages and in women under 75 years of age, no significant associations were observed. Conversely, in women aged >75 years significantly increased risks of lung and bladder cancers were related to high exposure to benzene (IRR for highest vs. lowest tertile: 2.00 for lung cancer and 1.94 for bladder cancer) and NO2 (IRR: 1.72 for lung cancer; and 1.94 for bladder cancer). In these women, a 1.71-fold higher risk of lung cancer was also related to a high exposure to SO2. The findings of this descriptive study indicated that air pollution may have a role with regard to the risk of lung and bladder cancers, limited to women aged ≥ 75 years. Such increased risk warrants further analytical investigations.