In response to the COVID-19 pandemic, governments worldwide have implemented social distancing policies with different levels of both enforcement and compliance. We conducted an interrupted time series analysis to estimate the impact of lockdowns on reducing the number of cases and deaths due to COVID-19 in Brazil. Official daily data was collected for four city capitals before and after their respective policies interventions based on a 14 days observation window. We estimated a segmented linear regression to evaluate the effectiveness of lockdown measures on COVID-19 incidence and mortality. The initial number of new cases and new deaths had a positive trend prior to policy change. After lockdown, a statistically significant decrease in new confirmed cases was found in all state capitals. We also found evidence that lockdown measures were likely to reverse the trend of new daily deaths due to COVID-19. In São Luís, we observed a reduction of 37.85% while in Fortaleza the decrease was 33.4% on the average difference in daily deaths if the lockdown had not been implemented. Similarly, the intervention diminished mortality in Recife by 21.76% and Belém by 16.77%. Social distancing policies can be useful tools in flattening the epidemic curve.