Background: Recent data suggest higher COVID-19 rates and severity in Black, Asian, and minority ethnic (BAME) communities. We aimed to study the association between ethnicity and risk of COVID-19 and adjust it by deprivation and previous comorbidity. Methods: Prospective cohort. UK Biobank participants from England linked to Hospital Episode Statistics (HES) and COVID-19 tests until 14 April 2020. COVID-19 infection was based on a positive PCR test. Ethnicity was self-reported and classified using Office of National Statistics groups. Socioeconomic status was based on index of multiple deprivation quintiles. Comorbidities were extracted from HES. We used Poisson regression to estimate rate ratios of infection according to ethnicity, adjusted for socioeconomic status, alcohol drinking, smoking, BMI, age, sex, and comorbidity. Results: 415,582 participants were included, with 2,886 tested and 1,039 positive for COVID-19. The incidence of COVID-19 was 0.85% (0.67% -1.09%) in Black/Black British participants, 0.47% (0.30%-0.74%) in 'other' ethnicities, 0.58% (0.44%-0.76%) in Asian/Asian British, 0.30% (0.11%-0.80%) in Chinese, 0.23% (0.11%-0.52%) in mixed, and 0.23% (0.21%-0.34%) in White. Compared with White participants, Black/Black British participants had an adjusted relative risk (RR) of 2.66 (2.03-3.88), Asian/Asian British participants 2.09 (1.53-2.84), Chinese participants 1.72 (0.64-4.61), 'other' ethnicities 1.67 (1.04-2.68), and mixed ethnicities 0.93 (0.41-2.07).Socioeconomic status (adjusted RR 1.73 (1.43-2.1) for the most deprived), was also associated with increased risk of COVID-19.