Major cities across the globe including megacity Delhi have experienced considerable lower levels of air pollutants including particulate matter (PM) during COVID-19 lockdown. This study explores pre-lockdown and during lockdown air quality changes in PM2.5, PM10, PM2.5/PM10 ratio along with meteorological effects. Selected sites with different pollution signatures in Delhi including Alipur (residential), Okhla (industrial) and Pusa Road (traffic) have experienced mean (S.D.) PM2.5 as 87.56(± 54.06), 124.45(± 73.49) and 62.14(± 58.64) µg/m3 and PM10 as 163.01(± 77.37), 217.71(± 93.94) and 135.15(± 77.90) µg/m3 before lockdown (BL), while for Lockdown 1 (L1), PM2.5 concentrations decreased drastically as 39.26(± 16.31), 38.01(± 15.16) and 31.03(± 12.79) µg/m3 and for PM10 as 100.76(± 43.71), 79.47(± 30.97) and 66.53(± 22.78) µg/m3, respectively, with gradual increase in both pollutants during successive lockdown phase—Lockdown 2, Lockdown 3, Lockdown 4 and Unlock phase 1. The percentage (%) decrease in PM2.5 (69.46%) and PM10 (63.49%) during lockdown was found well correlated with people mobility (Google and Apple mobility reports), as outdoor activities showed 70–80% decrease in L1 from BL phase. Source apportionment studies suggested both local and regional pollution contribution in Delhi. Comparison of PM2.5 and PM10 concentrations for the year 2020 with that of 2018 and 2019 and study on diurnal variations of PM2.5 and PM10 have been discussed.