SARS-CoV-2 in patients who need intensive care unit (ICU) is associated with a mortality rate ranging from 10 to 40–45%, with an increase in morbidity and mortality in presence of sepsis. We hypothesized that IgM and IgA enriched immunoglobulin G may support the sepsis-related phase improving patient outcome. We conducted a retrospective case–control study on 47 consecutive patients admitted to our ICU. At the time of admission, patients received anticoagulants (heparin sodium) together with the standard supportive treatment. We decided to add IgM and IgA enriched immunoglobulin G to the standard therapy. Patients receiving IgM and IgA enriched immunoglobulin G were compared with patients with similar baseline characteristics and treatment, receiving only standard therapy. The mortality resulted significantly higher in patients treated with standard therapy only (56.5 vs. 37.5%, p < 0.01) and, at day 7, the probability of dying was 3 times higher in this group. Variable life adjustment display (VLAD) was 2.4 and -2.2 (in terms of lives saved in relation with those expected and derived from Simplified Acute Physiology Score II) in the treated and not treated group, respectively. The treatment based on IgM and IgA enriched immunoglobulin G infusion seems to give an advantage on survival in SARS-CoV-2 severe infection.