Air pollution is among the highest contributors to mortality worldwide, especially in urban areas. During spring 2020, many countries enacted social distancing measures in order to slow down the ongoing COVID-19 pandemic. A particularly drastic measure, the “lockdown”, urged people to stay at home and thereby prevent new COVID-19 infections during the first (2020) and second wave (2021) of the pandemic. In turn, it also reduced traffic and industrial activities. But how much did these lockdown measures improve air quality in large cities, and are there differences in how air quality was affected? Here, we analyse data from two megacities: London as an example for Europe and Delhi as an example for Asia. We consider data during first and second-wave lockdowns and compare them to 2019 values. Overall, we find a reduction in almost all air pollutants with intriguing differences between the two cities except Delhi in 2021. In London, despite smaller average concentrations, we still observe high-pollutant states and an increased tendency towards extreme events (a higher kurtosis of the probability density during lockdown) during 2020 and low pollution levels during 2021. For Delhi, we observe a much stronger decrease in pollution concentrations, including high pollution states during 2020 and higher pollution levels in 2021. These results could help to design policies to improve long-term air quality in megacities.