Warnings are being displayed at bus stops, Tube stations and roadsides in the capital because of "high pollution levels".
Mr Khan said the warnings would help Londoners take "appropriate measures to protect themselves".
Under previous mayor, Boris Johnson, air pollution alerts were available through a subscription text service.
Anyone experiencing discomfort is advised to consider reducing their activity, particularly outdoors.
"This is particularly crucial for Londoners who are vulnerable, such as asthma sufferers," Mr Kahn added.
According to official statistics from the Mayor of London, 9,400 people die from air pollution in London each year.
The alerts are being displayed at 2,500 bus stops and river piers, the entrances of all 270 Tube stations and on 140 signs next to the busiest main roads into London with instructions to switch engines off when stationary to reduce emissions.
The mayor has proposed a series of measures to tackle the problem, including introducing charges for the most polluting vehicles in the Congestion Charge Zone.
King's College London's air quality network describes air pollution in London as "high" due to an area of high pressure over the UK resulting in calm, settled and cold conditions and poor dispersal of local pollutants.
Dr David Green of King's College London said: "Letting people know about the problem is very important.
"The more information, the more action people can take to protect themselves and the more well known the problem the less likely people are to buy that diesel car in the future."
Air quality alerts have been issued across the capital by Mayor of London Sadiq Khan for the first time.