It is enlightening to determine the discrepancies and potential reasons for the degree of impact from the COVID-19 control measures on air quality as well as the associated health and economic impacts. Analysis of air quality, socio-economic factors, and meteorological data from 447 cities in 46 countries indicated that the COVID-19 control measures had significant impacts on the PM2.5 (particulate matter with an aerodynamic diameter less than 2.5 μm) concentrations in 20 (reduced PM2.5 concentrations of −7.4–29.1 μg m−3) of the selected 46 countries. In these 20 countries, the robustly distinguished changes in the PM2.5 concentrations caused by the control measures differed between the developed (95% confidence interval (CI): −2.7–5.5 μg m−3) and developing countries (95% CI: 8.3–23.2 μg m−3). As a result, the COVID-19 lockdown reduced death and hospital admissions change from the decreased PM2.5 concentrations by 7909 and 82,025 cases in the 12 developing countries, and by 78 and 1214 cases in the eight developed countries. The COVID-19 lockdown reduced the economic cost from the PM2.5 related health burden by 54.0 million dollars in the 12 developing countries and by 8.3 million dollars in the eight developed countries. The disparity was related to the different chemical compositions of PM2.5. In particular, the concentrations of primary PM2.5 (e.g., BC) in cities of developing countries were 3–45 times higher than those in developed countries, so the mass concentration of PM2.5 was more sensitive to the reduced local emissions in developing countries during the COVID-19 control period. The mass fractions of secondary PM2.5 in developed countries were generally higher than those in developing countries. As a result, these countries were more sensitive to the secondary atmospheric processing that may have been enhanced due to reduced local emissions.