Several countries implemented prevention and control measures in response to the 2019 new coronavirus virus (COVID-19) pandemic. To study the impact of the lockdown due to COVID-19 on multiple cities, this study utilized data from 18 cities of Henan to understand the air quality pattern change during COVID-19 from 2019 to 2021. It examined the temporal and spatial distribution impact. This study firstly utilized a deep learning bi-directional long-term short-term (Bi-LSTM) model to predict air quality patterns during 3 periods, i.e., COVID-A (before COVID-19, i.e., 2019), COVID-B (during COVID-19, i.e., 2020), COVID-C (after COVID-19 cases, i.e., 2021) and obtained the R2 value of more than 72% average in each year and decreased MAE value, which was better than other studies’ deep learning methods. This study secondly focused on the change of pollutants and observed an increase in Air Quality Index by 10%, a decrease in PM2.5 by 14%, PM10 by 18%, NO2 by 14%, and SO2 by 16% during the COVID-B period. This study found an increase in O3 by 31% during the COVID-C period and observed a significant decrease in pollutants during the COVID-C period (PM10 by 42%, PM2.5 by 97%, NO2 by 89%, SO2 by 36%, CO by 58%, O3 by 31%). Lastly, the impact of lockdown policies was studied during the COVID-B period and the results showed that Henan achieved the Grade I standards of air quality standards after lockdown was implemented. Although there were many severe effects of the COVID-19 pandemic on human health and the global economy, lockdowns likely resulted in significant short-term health advantages owing to reduced air pollution and significantly improved ambient air quality. Following COVID-19, the government must take action to address the environmental problems that contributed to the deteriorating air quality.