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COVID-19 (Coronavirus disease 2019) hit Europe in January 2020. By March, Europe was the active centre of the pandemic. As a result, widespread "lockdown" measures were enforced across the various European countries, even if to a different extent. Such actions caused a dramatic reduction, especially in road traffic. This event can be considered the most significant experiment ever conducted in Europe to assess the impact of a massive switch-off of atmospheric pollutant sources. In this study, we focus on in situ concentration data of the main atmospheric pollutants measured in twelve European cities, characterized by different climatology, emission sources, and strengths. We propose a methodology for the fair comparison of the impact of lockdown measures considering the non-stationarity of meteorological conditions and emissions, which are progressively declining due to the adoption of stricter air quality measures. The analysis of these unmatched circumstances allowed us to estimate the impact of a nearly zero-emission urban transport scenario on air quality in 12 European cities. The clearest result, common to all the cities, is that a dramatic traffic reduction effectively reduces NO2 concentrations. In contrast, each city's PM and ozone concentrations can respond differently to the same type of emission reduction measure. From the policy point of view, these findings suggest that measures targeting urban traffic alone may not be the only effective option for improving air quality in cities.