This study evaluated the clinical and nutritional status, the evolution over three days, and the relationship between nutritional, inflammatory, and clinical parameters of critically ill patients with COVID-19. A longitudinal study was conducted in the Intensive Care Unit of the Virgen de las Nieves University Hospital in Granada (Spain). The study population comprised patients with a positive polymerase chain reaction test for COVID-19 presenting critical clinical involvement. Clinical outcomes were collected, and inflammatory and nutritional parameters (albumin, prealbumin, transferrin, transferrin saturation index, cholesterol, triglycerides and Controlling Nutritional Status (CONUT) score) were determined. A total of 202 critical patients with COVID-19 were selected, presenting highly altered clinical-nutritional parameters. The evolution experienced by the patients on the third day of admission was a decrease in albumin (p < 0.001) and an increase in prealbumin (p < 0.001), transferrin (p < 0.002), transferrin saturation index (p < 0.018), and cholesterol (p < 0.001). Low levels of albumin, prealbumin (on the third day) and high CONUT score (on the third day) showed an association with higher mortality. Nutritional variables were inversely correlated with clinical and inflammatory parameters. Critically ill patients with COVID-19 have poor nutritional status related to a poor prognosis of disease severity and mortality.