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Particulate air pollution is associated with adverse health effects to the population exposed. The aim of this paper is the identification of local and regional sources, affecting PM10 and PM2.5 levels in four large cities of southern Europe, namely: Lisbon, Madrid, Marseille, and Rome. Air pollution data from seven sampling sites of the European Union network were used. These stations were selected due to their ability of monitoring PM2.5 concentrations and providing reliable series of data. Each station’s background was also taken into account. Pearson correlation coefficients and primal component analysis components were extracted separately for cold and warm periods in order to define the relationships among particle matters (PMs) and gaseous pollutants (CO, NO2, SO2, and O-3) and evaluate the contributions of local sources. Possible seasonal variations of PM2.5/PM10 ratio daily values were also used as markers of PM sources, influencing particulate size distribution. Particle emissions were primarily attributed to traffic and secondarily to natural sources. Minimum daily values of PM2.5/PM10 ratio were observed during warm periods, particularly at suburban stations with rural background, due to dust resuspension and also due to the increase of biogenic coarse PM (pollen, dust, etc.). Hybrid Single-Particle Lagrangian Integrated Trajectory Model trajectory model was used in order to compute the 4-day backward trajectories of the air masses that affected the four cities which are under study during days with recorded PM10 exceedances, within a 5-year period (2003-2007), at 300, 750, and 1,500 m above ground level (AGL). The trajectories were then divided to clusters with a K-means analysis. In all four cities, the influence of slow-moving air masses was associated with a large fraction of PM10 exceedances and with high average and maximum daily mean PM10 concentrations, principally at the 300 m AGL analysis. As far the issue of the increased PM10 concentrations, the results were weaker in Marseille and particularly in Rome, probably due to their greater distance from Northwest Africa, in comparison to Madrid and Lisbon. Dust intrusions from the Sahara desert and transportation of Mediterranean/Atlantic sea spray, were characterized as primary regional sources of exogenous PM10 in all four cities. Continental trajectories from the industrialized northern Italy affected PM10 levels particularly in Marseille and Rome, due to their more eastern geographical position.