Meteorological conditions play a crucial role in air pollution by affecting both directly and indirectly the emissions, transport, formation, and deposition of air pollutants. Extreme weather events can strongly affect surface air quality. Understanding relations between air pollutant concentrations and extreme weather events is a fundamental step toward improving the knowledge of how excessive heat impacts on air quality. In this work, we developed a statistical procedure for investigating the variations in the correlation structure of four air pollutants (NOx, O3, PM10, PM2,5) during extreme temperature events measured in monitoring sites located of Emilia Romagna region, Northern Italy, in summer (June–August) from 2015 to 2017. For the selected stations, Hot Days (HDs) and Heat Waves (HWs) were identified with respect to historical series of maximum temperature measured for a 30-year period (1971–2000). This method, based on multivariate techniques, allowed us to highlight the variations in air quality of study area due to the occurrence of HWs. The examined data, including PM concentrations, show higher values, whereas NOx and O3 concentrations seem to be not influenced by HWs. This operative procedure can be easily exported in other geographical areas for studying effects of climate change on a local scale.