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Although the association between air pollution and mortality is well established, less is known about the effects in different age groups. This study analyzes the short-term associations between mortality in different age groups (0–14 years of age, 15–64 years of age, and 65+ years of age) and a number of air pollutants in two relatively clean northern European capitals: Stockholm and Tallinn. The concentrations in PM10 (particles with an aerodynamic diameter smaller than or equal to 10 µm), PM2.5–10 (coarse particles), PM2.5 (particles with an aerodynamic diameter smaller than or equal to 2.5 µm), BC (black carbon), PNC4 (particle number count of particles larger than or equal to 4 nm), NO2 (nitrogen dioxide), and O3 (ozone) were measured during the period of 2000–2016 in Stockholm and 2001–2018 in Tallinn (except for BC and PNC4 which were only measured in Stockholm). The excess risks in daily mortality associated with an interquartile range (IQR) increase in the measured air pollutants were calculated in both single- and multi-pollutant models for lag01 and lag02 (average concentration during the same and the previous day, and the same and the previous two days, respectively) using a quasi-Poisson regression model with a logistic link function. In general, the calculated excess risks per IQR increase were highest in the age group 0–14 years of age in both Stockholm and Tallinn. However, in Stockholm, a statistically significant effect was shown for PM2.5–10, and in Tallinn for O3. In the oldest age group (65+), statistically significant effects were shown for both PM2.5–10, PM10, and O3 in Stockholm, and for O3 in Tallinn.