Public health in India is gravely threatened by severe PM2.5 exposure. This study presents an analysis of long-term PM2.5 exposure in four Indian megacities (Delhi, Chennai, Hyderabad and Mumbai) based on in-situ observations during 2015–2018, and quantifies the health risks of short-term exposure during Diwali Fest (usually lasting for ~5 days in October or November and celebrating with lots of fireworks) in Delhi for the first time. The population-weighted annual-mean PM2.5 across the four cities was 72 μg/m3, ~3.5 times the global level of 20 μg/m3 and 1.8 times the annual criterion defined in the Indian National Ambient Air Quality Standards (NAAQS). Delhi suffers the worst air quality among the four cities, with citizens exposed to ‘severely polluted’ air for 10% of the time and to unhealthy conditions for 70% of the time. Across the four cities, long-term PM2.5 exposure caused about 28,000 (95% confidence interval: 17,200–39,400) premature mortality and 670,000 (428,900–935,200) years of life lost each year. During Diwali Fest in Delhi, average PM2.5 increased by ~75% and hourly concentrations reached 1676 μg/m3. These high pollutant levels led to an additional 20 (13–25) daily premature mortality in Delhi, an increase of 56% compared to the average over October–November. Distinct seasonal and diurnal variations in PM2.5 were found in all cities. PM2.5 mass concentrations peak during the morning rush hour in all cities. This indicates local traffic could be an important source of PM2.5, the control of which would be essential to improve air quality. We report an interesting seasonal variation in the diurnal pattern of PM2.5 concentrations, which suggests a 1–2 h shift in the morning rush hour from 8 a.m. in pre-monsoon/summer to 9–10 a.m. in winter. The difference between PM2.5 concentrations on weekdays and weekend, namely weekend effect, is negligible in Delhi and Hyderabad, but noticeable in Mumbai and Chennai where ~10% higher PM2.5 concentrations were observed in morning rush hour on weekdays. These local characteristics provide essential information for air quality modelling studies and are critical for tailoring the design of effective mitigation strategies for each city.