The effect of COVID-19 lockdown (LD) on many ambient air pollutants (NO, NO₂, PM_2.5, PM₁₀, O₃ and SO₂) was assessed for the first time in the Western Balkans with an innovative approach that evaluates a variety of factors including the stringency of the LD measures, the type of location, the pollution sources, the correlation with traffic fluxes and the meteorology. To that end, observations from 10 urban sites were compared with historical time series. The time window 1 February–30 May 2020 was classified in sub-periods on the basis of the stringency of the circulation restrictions. NO₂ and O₃ are the pollutants most affected by restrictions to population circulation due to lockdown during the first phase of the COVID-19 pandemic, and are well correlated with traffic fluxes. A reduction in fine particulate matter (PM_2.5 and PM₁₀) concentrations is observed in all sites only during the full LD periods, while the relation between SO₂ average and maximum hourly concentrations and LD periods in industrial and traffic sites vary from site to site. The reduction in NO₂ concentrations during the LD resulted in a reduction in mortality associated with air pollution in the largest cities, while the interpretation of the changes in O₃ and particulate matter is less clear.