The severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) causes coronavirus disease 2019 (COVID-19). SARS-CoV-2 infection can activate innate and adaptive immune responses and result in massive inflammatory responses in the disease. A comprehensive understanding of the participation of micronutrients in the immune response to COVID-19 will allow the creation of prevention and supplementation scenarios in malnutrition states. Microelement deficiency can be decisive in the progression of diseases and their optimal levels can act as protective factors, helping to maintain homeostasis. Vitamin A, B, D, selenium, zinc, and copper, through their complementary and synergistic effects, allow the components of innate and adaptive immunity to counteract infections like those occurring in the respiratory tract. Thus, alterations in nutritional status are related to metabolic diseases, systemic inflammation, and deterioration of the immune system that alter the response against viral infections, such as COVID-19. The aim of this review is to describe the micronutrients that play an important role as immunomodulators and its relationship between malnutrition and the development of respiratory infections with an emphasis on severe and critical COVID-19. We conclude that although an unbalanced diet is not the only risk factor that predisposes to COVID-19, a correct and balanced diet, which provides the optimal amount of micronutrients and favors an adequate nutritional status, could confer beneficial effects for prevention and improvement of clinical results. The potential usefulness of micronutrient supplementation in special cases is highlighted.