Globally, the COVID-19 pandemic has had both positive and negative impacts on humans and the environment. In general, a positive impact can be seen on the environment, especially in regard to air quality. This positive impact on air quality around the world is a result of movement control orders (MCO) or lockdowns, which were carried out to reduce the cases of COVID-19 around the world. Nevertheless, data on the effects on air quality both during and post lockdown at local scales are still sparse. Here, we investigate changes in air quality during normal days, the MCOs (MCO 1, 2 and 3) and post MCOs, namely the Conditional Movement Control Order (CMCO) and the Recovery Movement Control Order (RMCO) in the Klang Valley region. In this study, we used the air sensor network AiRBOXSense that measures carbon monoxide (CO), nitrogen dioxide (NO2), sulfur dioxide (SO2) and particulate matter (PM2.5 and PM10) at Petaling Jaya South (PJS), Kelana Jaya (KJ) and Kota Damansara (KD). The results showed that the daily average concentrations of CO and NO2 mostly decreased in the order of normal days > MCO (MCO 1, 2 and 3) > CMCO > RMCO. PM10, PM2.5, SO2 and O3 showed a decrease from the MCO to RMCO. PJS showed that air pollutant concentrations decreased from normal days to the lockdown phases. This clearly shows the effects of ‘work from home’ orders at all places in the PJS city. The greatest percentage reductions in air pollutants were observed during the change from normal days to MCO 1 (24% to 64%), while during MCO 1 to MCO 2, the concentrations were slightly increased during the changes of the lockdown phase, except for SO2 and NO2 over PJS. In KJ, most of the air pollutants decreased from MCO 1 to MCO 3 except for CO. However, the percentage reduction and increments of the gas pollutants were not consistent during the different phases of lockdown, and this effect was due to the sensor location—only 20 m from the main highway (vehicle emissions). The patterns of air pollutant concentrations over the KD site were similar to the PJS site; however, the percentage reduction and increases of PM2.5, O3, SO2 and CO were not consistent. We believe that local burning was the main contribution to these unstable patterns during the lockdown period. The cause of these different changes in concentrations may be due to the relaxation phases during the lockdown at each station, where most of the common activities, such as commuting and industrial activities changed in frequency from the MCO, CMCO and RMCO. Wind direction also affected the concentrations, for example, during the CMCO and RMCO, most of the pollutants were blowing in from the Southeast region, which mostly consists of a city center and industrial areas. There was a weak correlation between air pollutants and the temperature and relative humidity at all stations. Health risk assessment analysis showed that non-carcinogenic risk health quotient (HQ) values for the pollutants at all stations were less than 1, suggesting unlikely non-carcinogenic effects, except for SO2 (HQ > 1) in KJ. The air quality information showed that reductions in air pollutants can be achieved if traffic and industry emissions are strictly controlled.