The impacts of COVID-19 lockdown restrictions have provided a valuable global experiment into the extent of improvements in air quality possible with reductions in vehicle movements. Mexico City, London and Delhi all share the problem of air quality failing WHO guideline limits, each with unique situations and influencing factors. We determine, discuss and compare the air quality changes across these cities during the COVID-19, to understand how the findings may support future improvements in their air quality and associated health of citizens. We analysed ground-level PM10, PM2.5, NO2, O3 and CO changes in each city for the period 1st January to August 31, 2020 under different phases of lockdown, with respect to daily average concentrations over the same period for 2017 to 2019. We found major reductions in PM10, PM2.5, NO2 and CO across the three cities for the lockdown phases and increases in O3 in London and Mexico City but not Delhi. The differences were due to the O3 production criteria across the cities, for Delhi production depends on the VOC-limited photochemical regime. Levels of reductions were commensurate with the degree of lockdown. In Mexico City, the greatest reduction in measured concentration was in CO in the initial lockdown phase (40%), in London the greatest decrease was for NO2 in the later part of the lockdown (49%), and in Delhi the greatest decrease was in PM10, and PM2.5 in the initial lockdown phase (61% and 50%, respectively). Reduction in pollutant concentrations agreed with reductions in vehicle movements. In the initial lockdown phase vehicle movements reduced by up to 59% in Mexico City and 63% in London. The cities demonstrated a range of air quality changes in their differing geographical areas and land use types. Local meteorology and pollution events, such as forest fires, also impacted the results.