Although the lockdown policy implemented during the COVID-19 pandemic indeed improved the air quality and reduced the related health risks, the real effects of the lockdown and its resulting health risks remain unclear considering the effects of unobserved confounders and the longstanding efforts of the government regarding air pollution. We compared air pollution between the lockdown period and the period before the lockdown using a difference-in-differences (DID) model and estimated the mortality burden caused by the number of deaths related to air pollution changes. The NO2 and CO concentrations during the lockdown period (17 days) declined by 8.94 μg/m3 (relative change: 16.94%; 95% CI: 3.71, 14.16) and 0.20 mg/m3 (relative change: 16.95%; 95% CI: 0.04, 0.35) on an average day, respectively, and O3 increased by 8.41 μg/m3 (relative change: 32.80%; 95% CI: 4.39, 12.43); no meaningful impacts of the lockdown policy on the PM2.5, PM10, SO2, or the AQI values were observed. Based on the three clearly changed air pollutants, the lockdown policy prevented 8.22 (95% CI: 3.97, 12.49) all-cause deaths. Our findings suggest that the overall excess deaths caused by air pollution during the lockdown period declined. It is beneficial for human health when strict control measures, such as upgrading industry structure and promoting green transportation, are taken to reduce emissions, especially in cities with serious air pollution in China, such as Shijiazhuang.