The COVID‐19 pandemic perturbed air pollutant emissions as cities shut down worldwide. Peroxyacyl nitrates (PANs) are important tracers of photochemistry that are formed through the oxidation of non‐methane volatile organic compounds in the presence of nitrogen oxide radicals (NOx = NO + NO2). We use satellite measurements of free tropospheric PANs from the Suomi‐National Polar‐orbiting Partnership Cross‐ track Infrared Sounder (CrIS) over eight of the world's megacities. We quantify the seasonal cycle of PANs over these megacities and find seasonal maxima in PANs correspond to seasonal peaks in local photochemistry. CrIS is used to explore changes in PANs in response to the COVID‐19 lockdowns. Statistically significant changes to PANs occurred over four megacities: with decreases over Los Angeles and Delhi, and increases over Mexico City and Beijing in the winter. Our analysis suggests that large perturbations in NOx may not result in significant declines in NOx export potential of megacities. Plain Language Summary The COVID‐19 pandemic led to the lockdown of urban centers worldwide, drastically perturbing the concentrations of global air pollutants. Peroxyacyl nitrates (PANs) are important photochemical pollutants formed from reactions between NOx and volatile organic compounds, which were substantially reduced during the pandemic. We use satellite measurements of PANs from the Suomi‐National Polar‐orbiting Partnership Cross‐track Infrared Sounder in the free troposphere over and surrounding eight of the world's megacities. Seasonal cycles of PANs are pronounced and the seasonal maxima correspond to seasonal peaks in local photochemistry. Significant changes to PANs in response to COVID‐19 occurred over four out of the eight cities: PANs decreased over Los Angeles and Delhi, and PANs increased over Mexico City and Beijing in the winter. Our results indicate that large changes in NOx may not result in equally significant changes to PANs and the NOx export potential of megacities.