The outbreak of COVID-19 has significantly inhibited global economic growth and impacted the environment. Some evidence suggests that lockdown strategies have significantly reduced traffic-related air pollution (TRAP) in regions across the world. However, the impact of COVID-19 on TRAP on roadside is still not clearly understood. In this study, we assessed the influence of the COVID-19 lockdown on the levels of traffic-related air pollutants in Shanghai. The pollution data from two types of monitoring stations—roadside stations and non-roadside stations were compared and evaluated. The results show that NO₂, PM_2.5, PM₁₀, and SO₂ had reduced by ~30–40% at each station during the COVID-19 pandemic in contrast to 2018–2019. CO showed a moderate decline of 28.8% at roadside stations and 16.4% at non-roadside stations. In contrast, O₃ concentrations increased by 30.2% at roadside stations and 5.7% at non-roadside stations. This result could be resulted from the declined NOx emissions from vehicles, which lowered O₃ titration. Full lockdown measures resulted in the highest reduction of primary pollutants by 34–48% in roadside stations and 18–50% in non-roadside stations. The increase in O₃ levels was also the most significant during full lockdown by 64% in roadside stations and 33% in non-roadside stations due to the largest decrease in NO₂ precursors, which promote O₃ formation. Additionally, Spearman's rank correlation coefficients between NO₂ and other pollutants significantly decreased, while the values between NO₂ and O₃ increased at roadside stations.