The study described in this manuscript analyzed the effects of quarantine and social distancing policies implemented due to the Coronavirus Disease 2019 (COVID-19) pandemic on air pollution levels in four western megacities: São Paulo in Brazil; Paris in France; and Los Angeles and New York in the United States. The study investigated the levels of four air pollutants—Carbon monoxide (CO), Ozone (O3), Fine Particulate (PM2.5) and Nitrogen dioxide (NO2)—during the month of March 2020, compared to 2015–2019, in the urban air of these metropolitan areas, controlling for meteorological variables. Results indicated reductions in the levels of PM2.5, CO and NO2, with reductions of the latter two showing statistical significance. In contrast, tropospheric ozone levels increased, except in Los Angeles. The beneficial health effects of cleaner air might also help prevent deaths caused by the epidemic of COVID-19 in megacities by diminishing pressure on hospitals and health equipment. Future actions for the re-starting of non-essential economic activities in these cities should take into consideration the overall importance of health for the individual, as well as for societies.