The influence of North African (NAF) dust events on the air quality at the regional level (12 representative monitoring stations) in Southern Europe during a long time series (2007–2014) was studied. PM10 levels and chemical composition were separated by Atlantic (ATL) and NAF air masses. An increase in the average PM10 concentrations was observed on sampling days with NAF dust influence (42 μg·m−3) when compared to ATL air masses (29 μg·m−3). Major compounds such as crustal components and secondary inorganic compounds (SIC), as well as toxic trace elements derived from industrial emissions, also showed higher concentrations of NAF events. A source contribution analysis using positive matrix factorisation (PMF) 5.0 of the PM10 chemical data, discriminating ATL and NAF air mass origins, allowed the identification of five sources: crustal, sea salt, traffic, regional, and industrial. A higher contribution (74%) of the natural sources to PM10 concentrations was confirmed under NAF episodes compared with ATL. Furthermore, there was an increase in anthropogenic sources during these events (51%), indicating the important influence of the NAF air masses on these sources. The results of this study highlight that environmental managers should take appropriate actions to reduce local emissions during NAF events to ensure good air quality.