In order to fight against the spread of COVID-19, the most hard-hit countries in the spring of 2020 implemented different lockdown strategies. To assess the impact of the COVID-19 pandemic lockdown on air quality worldwide, Air Quality Index (AQI) data was used to estimate the change in air quality in 20 major cities on six continents. Our results show significant declines of AQI in NO₂, SO₂, CO, PM_2.5 and PM₁₀ in most cities, mainly due to the reduction of transportation, industry and commercial activities during lockdown. This work shows the reduction of primary pollutants, especially NO₂, is mainly due to lockdown policies. However, preexisting local environmental policy regulations also contributed to declining NO₂, SO₂ and PM_2.5 emissions, especially in Asian countries. In addition, higher rainfall during the lockdown period could cause decline of PM_2.5, especially in Johannesburg. By contrast, the changes of AQI in ground-level O₃ were not significant in most of cities, as meteorological variability and ratio of VOC/NO_x are key factors in ground-level O₃ formation.