Elevated ozone (O3) concentration during the COVID-19 lockdown is a matter of great concern, but the changes of its sensitivities to key precursors remains unclear. This study utilized the Community Multiscale Air Quality (CMAQ) model coupled with the Higher-order Decoupled Direct Method in Three Dimensions (HDDM-3D) and the process analysis (PA) modules to reveal in detail the changes in O3-precursors sensitivities and the contribution of major chemical and physical processes to O3 formation/loss during the month-long COVID-19 lockdown in early 2020 over the Yangtze River Delta (YRD) region of China. The results indicate that the contributions (absolute value) of gas-phase chemistry to O3 and Ox (i.e., O3+NO2) were reduced by 35–50% and 8–24%, respectively, under lockdown-specific (LCD) scenario compared with the business-as-usual (BAU) scenario in the highly urbanized areas of eastern and central YRD. Under the BAU (LCD) scenario, the first-order and second-order O3-NOx sensitivities averaged about −25 (−36) μg/m3 and about 8 (28) μg/m3, respectively. These 1st- and 2nd-order sensitivities of O3 to NOx were both intensified due to COVID-19 lockdown, which potentially contributed to O3 increases of between 5 and 10 μg/m3. In other words, the concentration of O3 and its rate of increase were both amplified due to COVID-19 lockdown. Overall, this study highlighted a significant wintertime “NOx reduction disbenefit” phenomenon over YRD because of both strong 1st-order (negative) and 2nd-order (positive) O3 sensitivities to NOx emissions, which were further reinforced due to COVID-19 lockdown.