Air pollution is currently considered one of the most serious problems facing humans. Fine particulate matter with a diameter smaller than 2.5 micrometres (PM2.5) is a very harmful air pollutant that is linked with many diseases. In this study, we created a machine learning-based scheme to estimate PM2.5 using various open data such as satellite remote sensing, meteorological data, and land variables to increase the limited spatial coverage provided by ground-monitors. A space-time extremely randomised trees model was used to estimate PM2.5 concentrations over Europe, this model achieved good results with an out-of-sample cross-validated R2 of 0.69, RMSE of 5 μg/m3, and MAE of 3.3 μg/m3. The outcome of this study is a daily full coverage PM2.5 dataset with 1 km spatial resolution for the three-year period of 2018–2020. We found that air quality improved throughout the study period over all countries in Europe. In addition, we compared PM2.5 levels during the COVID-19 lockdown during the months March–June with the average of the previous 4 months and the following 4 months. We found that this lockdown had a positive effect on air quality in most parts of the study area except for the United Kingdom, Ireland, north of France, and south of Italy. This is the first study that depends only on open data and covers the whole of Europe with high spatial and temporal resolutions. The reconstructed dataset will be published under free and open license and can be used in future air quality studies.