The nature of pollutants involved in smog episodes can vary significantly in various cities and contexts and will impact local populations differently due to actual exposure and pre-existing sensitivities for cardiovascular or respiratory diseases. While regulated standards and guidance remain important, it is relevant for cities to have local warning systems related to air pollution. The present paper proposes indicators and thresholds for an air pollution warning system in the metropolitan areas of Montreal and Quebec City (Canada). It takes into account past and current local health impacts to launch its public health warnings for short-term episodes. This warning system considers fine particulate matter (PM2.5) as well as the combined oxidant capacity of ozone and nitrogen dioxide (Ox) as environmental exposures. The methodology used to determine indicators and thresholds consists in identifying extreme excess mortality episodes in the data and then choosing the indicators and thresholds to optimize the detection of these episodes. The thresholds found for the summer were 31 μg/m3 for PM2.5 and 43 ppb for Ox in Montreal, and 32 μg/m3 and 23 ppb in Quebec City. In winter, thresholds found were 25 μg/m3 and 26 ppb in Montreal, and 33 μg/m3 and 21 ppb in Quebec City. These results are in line with different guidelines existing concerning air quality, but more adapted to the cities examined. In addition, a sensitivity analysis is conducted which suggests that Ox is more determinant than PM2.5 in detecting excess mortality episodes.