The Daily and Annual PM2.5, O3, and NO2 Concentrations at ZIP Codes for the Contiguous U.S., 2000-2016, v1.0 data set contains daily and annual concentration predictions for Fine Particulate Matter (PM2.5), Ozone (O3), and Nitrogen Dioxide (NO2) pollutants at ZIP Code-level for the years 2000 to 2016. Ensemble predictions of three machine-learning models were implemented (Random Forest, Gradient Boosting, and Neural Network) to estimate the daily PM2.5, O3, and NO2 at the centroids of 1km x 1km grid cells across the contiguous U.S. for 2000 to 2016. The predictors included air monitoring data, satellite aerosol optical depth, meteorological conditions, chemical transport model simulations, and land-use variables. The ensemble models demonstrated excellent predictive performance with 10-fold cross-validated R-squared values of 0.86 for PM2.5, 0.86 for O3, and 0.79 for NO2. These high-resolution, well-validated predictions allow for estimates of ZIP Code-level pollution concentrations with a high degree of accuracy. For general ZIP Codes with polygon representations, pollution levels were estimated by averaging the predictions of grid cells whose centroids lie inside the polygon of that ZIP Code; for other ZIP Codes such as Post Offices or large volume single customers, they were treated as a single point and predicted their pollution levels by assigning the predictions using the nearest grid cell. The polygon shapes and points with latitudes and longitudes for ZIP Codes were obtained from Esri and the U.S. ZIP Code Database and were updated annually. The data include about 31,000 general ZIP Codes with polygon representations, and about 10,000 ZIP Codes as single points. The aggregated ZIP Code-level, daily predictions are applicable in research such as epidemiology, public health, and political science, by linking with ZIP Code-level demographic and medical data sets, including national inpatient care records, medical claims data, census data, and U.S. Census Bureau American Community Survey (ACS). The data are particularly useful for studies on rural populations who may lack air monitoring sites. Compared with the 1km grid data, the ZIP Code-level predictions are much smaller in size and are manageable in personal computing environments. This greatly improves the inclusion of scientists in different fields by making it easier to use these data in air pollution research. The Units are ug/m^3 for PM2.5 and ppb for O3 and NO2.