Background: Invasive Fungal Infections (IFI) are emergent complications of COVID-19. In this study, we aim to describe the prevalence, related factors, and outcomes of IFI in critical COVID-19 patients. Methods: We conducted a nested case–control study of all COVID-19 patients in the intensive care unit (ICU) who developed any IFI and matched age and sex controls for comparison (1:1) to evaluate IFI-related factors. Descriptive and comparative analyses were made, and the risk factors for IFI were compared versus controls. Results: We found an overall IFI prevalence of 9.3% in COVID-19 patients in the ICU, 5.6% in COVID-19-associated pulmonary aspergillosis (CAPA), and 2.5% in invasive candidiasis (IC). IFI patients had higher SOFA scores, increased frequency of vasopressor use, myocardial injury, and more empirical antibiotic use. CAPA was classified as possible in 68% and 32% as probable by ECMM/ISHAM consensus criteria, and 57.5% of mortality was found. Candidemia was more frequent for C. parapsilosis Fluconazole resistant outbreak early in the pandemic, with a mortality of 28%. Factors related to IFI in multivariable analysis were SOFA score > 2 (aOR 5.1, 95% CI 1.5–16.8, p = 0.007) and empiric antibiotics for COVID-19 (aOR 30, 95% CI 10.2–87.6, p = <0.01). Conclusions: We found a 9.3% prevalence of IFIs in critically ill patients with COVID-19 in a single center in Mexico; factors related to IFI were associated with higher SOFA scores and empiric antibiotic use for COVID-19. CAPA is the most frequent type of IFI. We did not find a mortality difference.