Urban air pollution remains a major challenge for public health and environmental sustainability across the European Union. While much of the existing literature relies on national-level indicators, city-level analyses are essential for identifying persistent urban hotspots and spatial inequalities in exposure. This study examines annual PM2.5 concentrations in European capitals between 2021 and 2024 using data from the IQAir database, which provides harmonized, high-resolution information on fine particulate matter. Geospatial analysis and GeoAI-inspired exploratory approaches were employed to support the identification of intra-and inter-urban pollution patterns. The results reveal a structural break in 2022, when the energy crisis coincided with a temporary increase in PM2.5 concentrations, interrupting an otherwise improving trend. Systematic differences were observed between Western–Northern capitals, which exhibited lower concentrations and more favorable trends, and Eastern–Southern capitals, where exceedances persisted throughout the study period. A focused comparison of Budapest with Vienna, Warsaw, and Prague highlights the intermediate position of the Hungarian capital within Central Europe. Overall, the findings demonstrate the sensitivity of urban air quality to external shocks and the persistence of spatial disparities, while illustrating the potential of open-access air quality data to support evidence-based urban environmental policy and sustainable planning. The selected 2021–2024 period captures the post-COVID normalization phase and the 2022 energy crisis, enabling the analysis of short-term structural disruptions rather than long-term emission trajectories.