There are a few different options for applying a material to a particle system.
The material that appears on the particles comes from one of three places:
Particles with various materials assigned to them
You make this choice in the Material Mapping and Source group near the bottom of the Particle Type rollout. Choose Icon to use the material assigned to the particle system, choose Picked Emitter to use the material assigned to the distribution object, or choose Instanced Geometry to use the material assigned to the instanced objects. Note that this third option is available only when Instanced Geometry is the current particle type (selected in the Particle Types group at the top of the Particle Type rollout).
No matter what choice you make, if the material used is not mapped, then all particles take on the surface properties of the material, regardless of which object is used as the source of the material.