Urban air pollution continues to pose a significant health threat, despite regulations to control emissions. Here we present a comparative analysis of urban ozone (O3) responses to nitrogen oxide (NOx) changes in China and the United States (US) over 2015–2020 by integrating various data‐ and model‐based methods. The data‐based deep learning (DL) model exhibited good performance in simulating urban air quality: the correlation coefficients (R) of O3 daily variabilities with respect to independent O3 observations are 0.88 and 0.79 over N. China, 0.87 and 0.90 over S. China, and 0.87 and 0.49 over E. United States by the DL and GEOS‐Chem chemical transport models, respectively. Furthermore, the data‐based methods suggest volatile organic compound (VOC)‐limited regimes in urban areas over northern inland China and transitional regimes over eastern US urban areas; in contrast, GEOS‐Chem model suggests strong NOx‐limited regimes. Sensitivity analysis indicates that the inconsistent O3 responses are partially caused by the inaccurate representation of O3 precursor concentrations at the locations of urban air quality stations in the simulations, while the data‐based methods are driven by the variabilities in local O3 precursor concentrations and meteorological conditions. The O3 responses to NOx changes reported here provide a better understanding of urban O3 pollution; for example, reductions in NOx emissions are suggested to have resulted in an increase in surface O3 by approximately 7 ppb in the Sichuan Basin in 2014–2020.