This paper analyzes the relation between COVID-19, air pollution emissions, and mobility in the Mexico City Metropolitan Area. We test if the restrictions to economic activity introduced to mitigate the spread of COVID-19 are associated with a structural change in air pollution levels and mobility. Our results show that mobility in public transportation was significantly reduced following the government’s recommendations. Nonetheless, the reduction in mobility was not accompanied by a reduction in air pollution. Moreover, Granger-causality tests show that the precedence relation between mobility and air pollution disappeared as a product of the restrictions. Thus, our results show that air pollution in the MCMA seems primarily driven by industrial activity. In this regard, governments should redouble their efforts to develop policies aimed at reducing industrial pollution.