The Beijing–Tianjin–Hebei region is the most dynamic region and largest economy in northern China; however, the air quality is the worst in the country. The study of the air quality in the cities around Beijing is of great significance for air pollution control. Therefore, this study analyzed whether the COVID-19 pandemic altered the periodic pattern of the air quality in Beijing and its neighboring cities. The study employed continuous wavelet transform to examine the impact of the COVID-19 pandemic on the air quality of Beijing and its neighboring cities. This method reveals the changes in the air quality from a periodic pattern perspective. The results showed that COVID-19 weakened the periodic changes in air quality in Beijing and five neighboring cities, and this effect was most pronounced during the outbreak of the pandemic in early 2020. The cycle synchronization analysis showed that the pandemic weakened the cycle synchronization of air quality of the cities in the north of Beijing, while less impact was found on the cities to the south of Beijing. Moreover, the periodic patterns in 2020 and 2021 were compared with that in 2019 (before the outbreak of the pandemic), and it was found that the periodic patterns during the outbreak of the pandemic in 2020 and 2021 were significantly different from that in the same period in 2019. Therefore, COVID-19 weakened the periodic pattern of air quality in the cities around Beijing and altered the connection to air quality among them. The changes reveal the connections of inter-city air pollutants caused by human economic and social activities in cities around Beijing.