Introduction A small percentage of patients will develop a severe form of COVID-19 caused by SARS-CoV-2 infection. Thus, it is important to predict the potential outcomes identifying early markers of poor prognosis. In this context, we evaluated the association of SARS-CoV-2 infection with lipid abnormalities and their role in prognosis. Methods Single-center, retrospective, observational study of COVID-19 patients admitted from March to October 2020. Clinical and laboratory data, comorbidities, and treatments for COVID-19 were evaluated. Main outcomes including intensive care unit (ICU) admission and mortality were analyzed with a multivariable Cox proportional hazards regression model. Results We selected 1489 from a total of 2038 consecutive patients with confirmed COVID-19, who had a complete lipid profile before ICU admission. During the follow-up performed in 1109 patients, we observed a decrease in T-c, HDL-c, and LDL-c in 28.6%, 42.9%, and 30.4% of patients, respectively, and an increase in TG in 76.8%. The decrease of both T-c and HDL- c was correlated with a decrease in albumin levels (r = 0.39 and r = 0.37, respectively). Kaplan–Meier survival curves found an increased ICU admission in patients with lower T-c (HR 0.55, CI 0.36–0.86), HDL-c (HR 0.61, CI 0.45–0.84), and LDL-c (HR 0.85, CI 0.74–0.97). Higher values of T-c (HR 0.45, CI 0.36–0.57), HDL-c (HR 0.66, CI 0.54–0.81), and LDL-c (HR 0.86, CI 0.78–0.94) showed a protective effect on mortality. Conclusions Abnormalities in lipid profile are a frequent complication of SARS-CoV-2 infection and might be related to morbidity and mortality. Funding Proyectos de Investigación en Salud (FIS) and cofinanced by FEDER.