This study evaluated the temporal variability of the concentrations of pollutants (namely, NO2, O3, PM2.5, PM10 and SO2) in an urban-industrial area of mainland Portugal during two decades (from 2001 to 2020), to assess the impact of the COVID-19 pandemic on the levels of these atmospheric pollutants. Mean levels of pollutants in 2020 were compared with those measured in the six previous years (2014–2019). A significant improvement in air quality, namely regarding PM10 and NO2, was found and it can be attributable to the restrictions of anthropogenic activities (such as traffic) promoted during the March–May 2020 national lockdown that occurred due to the pandemic. Significant and expressive reductions of 44.0% and 40.3% were found in April 2020 for NO2 and PM10, respectively, showing the impact of local traffic in the study area. A similar trend of reduction for these pollutants was also found in the following months. However, ozone levels did not show the same trend, with significant increases in several months after the lockdown period, highlighting other contributions to this pollutant. This unique period can be considered as a living lab, where the implementation of strict measures due to COVID-19 confinement promoted the reduction of anthropogenic activities and allowed us to understand more comprehensively their impact on local air quality.