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Previous studies have reported a decrease in air pollution levels following the enforcement of lockdown measures during the first wave of the COVID-19 pandemic. However, these investigations were mostly based on simple pre-post comparisons using past years as a reference and did not assess the role of different policy interventions. This study contributes to knowledge by quantifying the association between specific lockdown measures and the decrease in NO2, O3, PM2.5, and PM10 levels across 47 European cities. It also estimated the number of avoided deaths during the period. This paper used new modelled data from the Copernicus Atmosphere Monitoring Service (CAMS) to define business-as-usual and lockdown scenarios of daily air pollution trends. This study applies a spatio-temporal Bayesian non-linear mixed effect model to quantify the changes in pollutant concentrations associated with the stringency indices of individual policy measures. The results indicated non-linear associations with a stronger decrease in NO2 compared to PM2.5 and PM10 concentrations at very strict policy levels. Differences across interventions were also identified, specifically the strong effects of actions linked to school/workplace closure, limitations on gatherings, and stay-at-home requirements. Finally, the observed decrease in pollution potentially resulted in hundreds of avoided deaths across Europe. [ABSTRACT FROM AUTHOR]