I think I can solve the following exercise if $X$ is assumed to be separable, otherwise I can't.
Let $X$ be a (Hausdorff) locally compact space, $\pi\colon X \to Y$ a continuous map into a topological space $Y$ such that $Y$ is the union of a countable sequence of compact sets $(K_n)$, and such that $\pi^{-1} (K_n)$ is compact for each $n$. Let $\mu$ be a regular Borel probability measure on $Y$. Define the space $\mathcal{M}_\mu (X)_1$ consisting of all Borel probability measures $\nu$ on $X$ such that $\pi_* \nu = \mu$. Show that $\mathcal{M}_\mu(X)_1$ is compact with respect to the weak-* topology.
Now if $X$ is assumed to be separable, so is $C_0(X)$ and the same proof as in Helly-Bray's theorem works (mutatis mutandis). What if it's not?