Health authorities have urged the young, elderly and those with breathing problems to limit their time outside.
The southern holiday island of Crete has been particularly badly affected, with some areas reporting dust in the air at 10 times normal levels - forcing school closures.
Meteorologists said conditions are expected to improve from Monday evening in the capital and from Wednesday in southern Greece and Crete.
Twitter users have posted images of streets and beaches across the country, which have a warm orange glow as the African dust sweeps through.
Web developer Stavros Markopoulos wrote: "Dust straight from the Saharan desert, now in Heraklion, Crete, Greece."
The Athens Observatory said on Friday that one of the largest ever transfers of desert sand from the Sahara to Greece took place on Thursday when the dust first arrived.
Concentrations of dust were the highest in 10 years, the Athens Observatory's meteorological service said.
Orange snow was spotted in ski resorts in Russia, Bulgaria, Ukraine, Romania and Moldova as the dust engulfed southeastern Europe.
The phenomenon occurs roughly once every five years but concentrations of sand were higher than usual this time./news.sky.com