The effect of lockdown due to coronavirus disease (COVID-19) pandemic on air pollution in four Southern European cities (Nice, Rome, Valencia and Turin) and Wuhan (China) was quantified, with a focus on ozone (O3). Compared to the same period in 2017-2019, the daily O3 mean concentrations increased at urban stations by 24% in Nice, 14% in Rome, 27% in Turin, 2.4% in Valencia and 36% in Wuhan during the lockdown in 2020. This increase in O3 concentrations is mainly explained by an unprecedented reduction in NOx emissions leading to a lower O3 titration by NO. Strong reductions in NO2 mean concentrations were observed in all European cities, ~53% at urban stations, comparable to Wuhan (57%), and ~65% at traffic stations. NO declined even further, ~63% at urban stations and ~78% at traffic stations in Europe. Reductions in PM2.5 and PM10 at urban stations were overall much smaller both in magnitude and relative change in Europe (~8%) than in Wuhan (~42%). The PM reductions due to limiting transportation and fuel combustion in institutional and commercial buildings were partly offset by increases of PM emissions from the activities at home in some of the cities. The NOx concentrations during the lockdown were on average 49% lower than those at weekends of the previous years in all cities. The lockdown effect on O3 production was ~10% higher than the weekend effect in Southern Europe and 38% higher in Wuhan, while for PM the lockdown had the same effect as weekends in Southern Europe (~6% of difference). This study highlights the challenge of reducing the formation of secondary pollutants such as O3 even with strict measures to control primary pollutant emissions. These results are relevant for designing abatement policies of urban pollution.