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The pandemic has affected almost 74 million people worldwide as of 17 December 2020. This is the first study that attempts to examine the nexus between the confirmed COVID-19 cases, deaths, meteorological factors, and the air pollutant namely PM2.5 in six South Asian countries, from 1 March 2020 to 30 June 2020, using the advanced econometric techniques that are robust to heterogeneity across nations. Our findings confirm (1) a strong cross-sectional dependence and significant correlation between COVID-19 cases, deaths, meteorological factors, and air pollutant; (2) long-term relationship between all the meteorological variables, air pollutant, and COVID-19 death cases; (3) temperature, air pressure, and humidity exhibit a significant impact on the COVID-19 confirmed cases, while COVID-19 confirmed cases and air pollutant PM2.5 have a statistically significant impact on the COVID-19 death cases. In this way, the conclusion that high temperature and high humidity increase the transmission of the COVID-19 infections can also be applied to the regions with greater transmission rates, where the minimum temperature is mostly over 21 °C and humidity ranges around 80% for months. From the findings, it is evident that majority of the meteorological factors and air pollutant PM2.5 exhibit significant negative and positive effects on the number of COVID-19 confirmed cases and death cases in the six countries under study. Air pollutant PM 2.5 provides more particle surface for the virus to stick and get transported longer distances. Hence, higher particulate pollution levels in the air increase COVID-19 transmission in these six South Asian countries. This information is vital for the government and public health authorities in formulating relevant policies. The study contributes both practically and theoretically to the concerned field of pandemic management.