Weather Normalized Models (WNMs) are modeling methods used for assessing air contaminants under a business-as-usual (BAU) assumption. Therefore, WNMs are used to assess the impact of many events on urban pollution. Recently, different approaches have been implemented to develop WNMs and quantify the lockdown effects of COVID-19 on air quality, including Machine Learning (ML). However, more advanced methods, such as Deep Learning (DL), have never been applied for developing WNMs. In this study, we proposed WNMs based on DL algorithms, aiming to test five DL architectures and compare their performances to a recent ML approach, namely Gradient Boosting Machine (GBM). The concentrations of five air pollutants (CO, NO2, PM2.5, SO2, and O3) are studied in the city of Quito, Ecuador. The results show that Long-Short Term Memory (LSTM) and Bidirectional Recurrent Neural Network (BiRNN) outperform the other algorithms and, consequently, are recommended as appropriate WNMs to quantify the effects of the lockdowns on air pollution. Furthermore, examining the variable importance in the LSTM and BiRNN models, we identify that the most relevant temporal and meteorological features for predicting air quality are Hours (time of day), Index (1 is the first collected data and increases by one after each instance), Julian Day (day of the year), Relative Humidity, Wind Speed, and Solar Radiation. During the full lockdown, the concentration of most pollutants has decreased drastically: −48.75%, for CO, −45.76%, for SO2, −42.17%, for PM2.5, and −63.98%, for NO2. The reduction of this latter gas has induced an increase of O3 by +26.54%.