The alert for McHenry, Lake, Kane, DuPage, Kendall, Grundy, Cook and Will counties in Illinois and some of southern Wisconsin lasts until midnight Friday.
The Illinois Environmental Protection Agency previously issued an Air Pollution Action Day for Wednesday for the Chicago area.
Lake, Porter, Newton and Jasper counties in Indiana are also under alert all day Tuesday.
The alert was also issued because of unhealthy ozone levels in addition to smoke particles.
The Chicago area has been under air quality alerts for most of last week, due to smoke from Canadian wildfires.
At one point last week, Chicago had the worst air quality in the world.
Medical experts said the unhealthy air conditions are of most concern for active children and adults who have a respiratory condition. Those who experience a respiratory issue should go inside and seek medical attention if necessary.
Doctors said an N95 mask can help people outside, and people at home should make sure filters are fresh so that air conditioning is working at its best.
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On Wednesday, a lot of people were outside enjoying the weather, despite the alert.
At the P2 Soccer Training camp, some young campers showed off their skills on the indoor soccer turf.
The popular camp, which has around 90 kids enrolled, still provided some outside time for some of the older children cleared to be outside, while monitoring conditions.
"If it gets to a point where we're getting the guidance the kids probably shouldn't be out too long, doing anything too high intensity, we just monitor things. So things we'll do, we'll put in place rest breaks, longer shade breaks, longer water breaks, and we obviously have an indoor space, as well," P2 Soccer Training co-founder Adam Hewitt said.
There is a noticeable haze covering much of Chicago's skyline.
The conditions haven't appeared to stop people from enjoying the city's attractions or the lakefront, but some are definitely feeling the change.
Paul Lea made a trip to his doctor after he experienced a respiratory issue.
"It's been going on for many years for me, but I do feel a little bit aggravated with a smoking in the air with my asthma. I have exercise-induced asthma, and I'm a long-distance runner. So I've been feeling a little bit of a difference in the last weekend or so," Lea said.
Dr. John Latall of Premier Allergy, Asthma and Sinus Care says his practice has seen a 25% increase in people looking for relief.
"This Saturday, when it's supposed to get hot and sunny, the ozone will go up because the sunlight mixing with the pollution and raises the ozone level. Right now, fine particulate matter is the big one. So moderately elevated, so asthma and other respiratory group should be cautious," Latall said.