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."

The positions are in its claims department and represent around one third of its local workforce.
A statement said: "Today we have briefed employees in our Belfast office on changes to our claims function.
"We will be closing our claims function in Belfast by the end of April 2015."
Aviva said the work will move to locations in England.
"These changes have not been taken lightly, and we will work closely with those affected to provide as much support as possible," they added.
"Other Aviva teams based in Belfast are not impacted."

The new contract for the 25-year-old represented "a landmark day" for Marlins owner Jeffrey Loria.
The value of the deal makes it a record, although the £187m ($292m) 10-year contract signed by Detroit's Miguel Cabrera is worth more annually.
Stanton has hit a total of 154 home runs in five Major League seasons.
The American outfielder missed the final 17 games of last season after being struck in the face by a pitch but still hit 37 home runs in 2014, the most in the National League.
"I'm happy for the city, I'm happy for him and I'm thrilled for baseball," added Loria, who said the deal includes a no-trade clause and allows Stanton to opt out after six years.
"Besides being a terrific athlete, he's a first-class young man. I've loved watching him play, but I love this kid. He's just a special young man."
Air quality alerts have been issued across the capital by Mayor of London Sadiq Khan for the first time.
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The insurance group Aviva is to axe around 30 jobs at its office in Belfast, a company spokesman has told the BBC.
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Giancarlo Stanton has agreed the most expensive ever deal in United States sport by signing a £208m ($325m) 13-year contract with Miami Marlins.