To control the spread of COVID-19, the government of India imposed a nationwide lockdown on all nonessential activities from 22 Mar. to 3 May 2020. Daily ambient particulate matter ≤10 μm in diameter (PM10), particulate matter ≤2.5 μm in diameter (PM2.5), NO, NO2 , and O3 concentrations in Delhi and Kolkata from 1 March to 3 May in both 2019 and 2020 were collected from different monitoring stations along with meteorological data to study the impact of the COVID-19 lockdown on ambient pollutant concentrations. In 2020, average ambient concentrations of PM10 and PM2.5 were significantly decreased (Delhi: 59 and 43%, respectively; Kolkata: 49 and 50%, respectively) during the lockdown period compared with the same period during 2019 in both cities. Average ambient O3 concentration in Delhi was significantly lower in 2020 (38.5 μg m-3) compared with 2019 (44.7 μg m-3) during the study period. However, average ambient O3 concentration was significantly higher during 2020 (46.9 μg m-3) compared with 2019 (31.4 μg m-3) in Kolkata. Effect size analysis of different predictive variables reveals that the lockdown period explains maximum variation in ambient concentrations of PM10 and PM2.5 during 2020 in both cities. However, maximum variation in ambient O3 concentrations in both cities was explained primarily by spatial variation rather than by the lockdown period. This study suggests that major policy implementation related to the transport and industrial sectors that aims to address the ambient air pollution problem in India may reduce the ambient particulate matter concentrations, although it may not have a significant effect on other ambient air pollutants such as O3 in major Indian cities.