Deaths from COVID-19 can be miscounted due to under-reporting and inaccurate death registration. Mortality is often reported at the national level, which can result in the underestimation of the true scale of the impact of the pandemic since outbreaks tend to be localised. This study exploits all-cause daily death registration data provided by the Italian Statistical Office (ISTAT) from 1 January to 31 October to estimate the excess mortality and the corresponding changes in life expectancy during the first wave of the COVID-19 pandemic. Focusing on the five most severely hit provinces in Italy (Bergamo, Brescia, Cremona, Lodi and Piacenza), we calculate the excess mortality in 2020 compared to the average mortality of the years 2015 to 2019. Moreover, we estimate the excess mortality in the first quadrimester of 2020, and the annual life expectancy at birth. The estimated excess deaths show that during this period, mortality was significantly higher than the official mortality statistics for COVID-19. According to our estimates for the first quadrimester, life expectancy in the five provinces declined by 5.4 to 8.1 for men and by 4.1 to 5.8 years for women. In addition, we find that annual life expectancy decreased by 2.4 to 4.1 years for men and by 1.9 to 2.8 years for women compared to the 2015–2019 average. Thus, we conclude that the first wave of the COVID-19 pandemic had a substantial impact on population health in the hardest hit areas in Italy.