In this paper, we propose a methodology to evaluate the effectiveness of local emission reduction policies on PM2.5 concentration levels. In particular, we look at the impact of emission reduction policies at different scales (from urban to EU scale) on different PM2.5 baseline concentration levels. The methodology, based on a post-processing of air quality model simulations, is applied to 10 cities in Europe to understand on which sources local actions are effective to improve air quality, and over which concentration ranges. The results show that local actions are effective on low-level concentrations in some cities (e.g., Rome), whereas in other cases, policies are more effective on high-level concentrations (e.g., Krakow). This means that, in specific geographical areas, a coordinated approach (among cities or even at different administration levels) would be needed to significantly improve air quality. At last, we show that the effectiveness of local actions on urban air pollution is highly city-dependent.