The coronavirus disease (COVID-19) pandemic caused by spreading rapidly a severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has imposed a unique situation for the humanity. Sao Paulo has reported 124,105 confirmed cases of COVID-19 and 5,623 deaths up to June 14th, being considered the epicenter of the pandemic in Brazil and in South America. Due to the measures for social distancing, there was a drop in the air pollution concentration in Sao Paulo. Starting on March 16th, 2020, we broke 90 days of social distancing into 13 weeks and compared to an equivalent period in 2019. We investigated the air quality improvement during the quarantine period and compared the associated avoided deaths to COVID-19 burden deaths. Nitrogen dioxide (NO₂) was the best indicator of air quality in the analyzed weeks, since its reduction reached 58 %. Our study showed that the 5,623 deaths occurred during the analyzed weeks of quarantine represents an economic health loss of US$ 10.5 billion. In opposite, we observed a significant air quality improvement due to pollutants concentrations’ reductions during the analyzed weeks. Considering PM₁₀, PM_2.5 and NO₂, the decrease of concentration levels respectively avoided 78, 337 and 387 premature deaths and prevented up to US$ 1.5 billion on health costs. These results highlight the importance of continuing to enforce existing air pollution regulations and measures to protect human health both during and after COVID-19 pandemic.