Few studies showed that neurofilament light chain (NfL), glial fibrillary acidic protein (GFAP), total tubulin-associated unit (TAU), and ubiquitin carboxy-terminal hydrolase-L1 (UCH-L1) may be related to neurological manifestations and severity during and after SARS-CoV-2 infection. The objective of this work was to investigate the relationship among nervous system biomarkers (NfL, TAU, GFAP, and UCH-L1), biochemical parameters, and viral loads with heterogeneous outcomes in a cohort of severe COVID-19 patients admitted in Intensive Care Unit (ICU) of a university hospital. For that, 108 subjects were recruited within the first 5 days at ICU. In parallel, 16 mild COVID-19 patients were enrolled. Severe COVID-19 group was divided between “deceased” and “survivor.” All subjects were positive for SARS-CoV-2 detection. NfL, total TAU, GFAP, and UCH-L1 quantification in plasma was performed using SIMOA SR-X platform. Of 108 severe patients, 36 (33.33%) presented neurological manifestation and 41 (37.96%) died. All four biomarkers — GFAP, NfL, TAU, and UCH-L1 — were significantly higher among deceased patients in comparison to survivors (p < 0.05). Analyzing biochemical biomarkers, higher Peak Serum Ferritin, D-Dimer Peak, Gamma-glutamyltransferase, and C-Reactive Protein levels were related to death (p < 0.0001). In multivariate analysis, GFAP, NfL, TAU, UCH-L1, and Peak Serum Ferritin levels were correlated to death. Regarding SARS-CoV-2 viral load, no statistical difference was observed for any group. Thus, Ferritin, NFL, GFAP, TAU, and UCH-L1 are early biomarkers of severity and lethality of SARS-COV-2 infection and may be important tools for therapeutic decision-making in the acute phase of disease.