In this paper we propose a methodology consisting of specific computational intelligence methods, i.e. principal component analysis and artificial neural networks, in order to inter-compare air quality and meteorological data, and to forecast the concentration levels for environmental parameters of interest (air pollutants). We demonstrate these methods to data monitored in the urban areas of Thessaloniki and Helsinki in Greece and Finland, respectively. For this purpose, we applied the principal component analysis method in order to inter-compare the patterns of air pollution in the two selected cities. Then, we proceeded with the development of air quality forecasting models for both studied areas. On this basis, we formulated and employed a novel hybrid scheme in the selection process of input variables for the forecasting models, involving a combination of linear regression and artificial neural networks (multi-layer perceptron) models. The latter ones were used for the forecasting of the daily mean concentrations of PM₁₀ and PM_2.5 for the next day. Results demonstrated an index of agreement between measured and modelled daily averaged PM₁₀ concentrations, between 0.80 and 0.85, while the kappa index for the forecasting of the daily averaged PM₁₀ concentrations reached 60% for both cities. Compared with previous corresponding studies, these statistical parameters indicate an improved performance of air quality parameters forecasting. It was also found that the performance of the models for the forecasting of the daily mean concentrations of PM₁₀ was not substantially different for both cities, despite the major differences of the two urban environments under consideration.