This study aims to compare air quality indices applied in European Union countries towards adopting a common air quality index. The urban European cities Rome, Madrid, Paris, London, Berlin, Warsaw, Stockholm, and Oslo were selected. Using the EEA AirBase air quality database, time series data for the major atmospheric pollutants (CO, NO2, SO2, O3, PM10, and PM2.5) were recovered for each city, for most recent years available. Daily averages, maximum hourly values and maximum 8-h averages were calculated for each pollutant. The air quality indices selected were BelAQI, DAQx, DAQI, AtmoIndex, AQIH, and CAQI. The daily value of each air quality indices and the corresponding dominant atmospheric pollutant were determined for each city. A two-stage normalization procedure was applied on air quality indices in a 0–1 range, to allow their direct comparison without altering their structure. All air quality indices exhibited air quality rates over 64% for all cities, thus below the European Union air quality standard. The dominant pollutant was NO2 for both BelAQI and DAQx; O3 for both DAQI and AQIH (with an exception for Warsaw where SO2 was the dominant pollutant). For CAQI, NO2 prevails in Berlin, London, Warsaw, Stockholm, and Oslo, while O3 prevails in Rome, Madrid, and Paris. The dominant pollutant for AtmoIndex was NO2 in Berlin, Warsaw, and Stockholm; O3 in Madrid, Paris, London, and Oslo; PM10 in Rome. A very strong positive statistical correlation ( p < 0.01) was found for all cities between BelAQI and CAQI, and also between CAQI and DAQx. A strong positive statistical correlation ( p < 0.01) was found for all cities between BelAQI and DAQx. A moderate positive correlation was shown between the following pairs of indices: AtmoIndex-DAQI, AtmoIndex-AQIH, DAQI-AQIH, BelAQI-AQIH, and AQIH-CAQI. On the contrary, a weak positive correlation was noticed between the following pairs of indices: BelAQI-DAQI, BelAQI-AtmoIndex, DAQX-DAQI, DAQx-AQIH, DAQI-CAQI, and CAQI-AtmoIndex. After the normalization process that enables the direct comparison of the air quality indices, the main results are the BelAQI presents the largest normalized median (range 0.33–0.5) implying the worst air quality compared to the other air quality indices. The CAQI has a median value of 0.33, the DAQx of 0.25, while the AtmoIndex a median value range of 0.125–0.375, and the DAQI and AQIH of 0.165–0.33. Concluding, the AQIH can be proposed as a common European Union air quality index because: firstly, its calculation comprises all significant atmospheric pollutants including PM2.5, thereby being harmonized with the Directive 2008/50/EC, and, secondly, AQIH does not display extremely low or high (normalized) values compared to the other air quality indices.