Abstract: Green infrastructure (GI) is already known to be a suitable way to enhance air quality in urban environments. Living wall systems (LWS) can be implemented in locations where other forms of GI, such as trees or hedges, are not suitable. However, much debate remains about the variables that influence their particulate matter (PM) accumulation efficiency. This study attempts to clarify which plant species are relatively the most efficient in capturing PM and which traits are decisive when it comes to the implementation of a LWS. We investigated 11 plant species commonly used on living walls, located close to train tracks and roads. PM accumulation on leaves was quantified by magnetic analysis (Saturation Isothermal Remanent Magnetization (SIRM)). Several leaf morphological variables that could potentially influence PM capture were assessed, as well as the Wall Leaf Area Index. A wide range in SIRM values (2.74–417 μA) was found between all species. Differences in SIRM could be attributed to one of the morphological parameters, namely SLA (specific leaf area). This suggest that by just assessing SLA, one can estimate the PM capture efficiency of a plant species, which is extremely interesting for urban greeners. Regarding temporal variation, some species accumulated PM over the growing season, while others actually decreased in PM levels. This decrease can be attributed to rapid leaf expansion and variations in meteorology. Correct assessment of leaf age is important here; we suggest individual labeling of leaves for further studies. Highest SIRM values were found close to ground level. This suggests that, when traffic is the main pollution source, it is most effective when LWS are applied at ground level. We conclude that LWS can act as local sinks for PM, provided that species are selected correctly and systems are applied according to the state of the art.