(1) Background: Triglyceride to high density lipoprotein cholesterol (TG/HDL-c) ratio is crucial when researching metabolic and vascular diseases, and its involvement in COVID-19 was sparsely elaborated on. The purpose of the study was to explore if there were any associations between the TG/HDL-c ratio and COVID-19 prognosis; (2) Methods: A total of 262 COVID-19 patients were retrospectively investigated. The clinical features and baseline hematological parameters were recorded and analyzed; (3) Results: Compared with the survivors, the non-survivors of COVID-19 had significantly higher levels of white blood cells (4.7 vs. 13.0 ×109/L; P < 0.001), neutrophils (3.0 vs. 11.6×109/L; P < 0.001), C-reactive proteins (15.7 vs. 76.7 mg/L; P < 0.001) and TG/HDL-c ratio (1.4 vs. 2.5; P = 0.001). The receiver operating characteristics curve [area under the curve, 0.731; 95% confidence interval, 0.609–0.853; P = 0.001] suggested that the TG/HDL-c ratio could predict the mortality of COVID-19. Moreover, the TG/HDL-c ratio was positively correlated with white blood cells (r = 0.255, P < 0.001), neutrophils (r = 0.243, P < 0.001) and C-reactive proteins (r = 0.170, P < 0.006); (4) Conclusions: Our study demonstrated that TG/HDL-c ratio may potentially be a predictive marker for mortality in COVID-19 patients.