This paper investigates the impact of air quality and climate variability during the first wave of COVID-19 associated with accelerated transmission and lethality in Wuhan in China and four European metropolises (Milan, Madrid, London, and Bucharest). For the period 1 January–15 June 2020, including the COVID-19 pre-lockdown, lockdown, and beyond periods, this study used a synergy of in situ and derived satellite time-series data analyses, investigating the daily average inhalable gaseous pollutants ozone (O3), nitrogen dioxide (NO2), and particulate matter in two size fractions (PM2.5 and PM10) together with the Air Quality Index (AQI), total Aerosol Optical Depth (AOD) at 550 nm, and climate variables (air temperature at 2 m height, relative humidity, wind speed, and Planetary Boundary Layer height). Applied statistical methods and cross-correlation tests involving multiple datasets of the main air pollutants (inhalable PM2.5 and PM10 and NO2), AQI, and aerosol loading AOD revealed a direct positive correlation with the spread and severity of COVID-19. Like in other cities worldwide, during the first-wave COVID-19 lockdown, due to the implemented restrictions on human-related emissions, there was a significant decrease in most air pollutant concentrations (PM2.5, PM10, and NO2), AQI, and AOD but a high increase in ground-level O3 in all selected metropolises. Also, this study found negative correlations of daily new COVID-19 cases (DNCs) with surface ozone level, air temperature at 2 m height, Planetary Boundary PBL heights, and wind speed intensity and positive correlations with relative humidity. The findings highlight the differential impacts of pandemic lockdowns on air quality in the investigated metropolises.