A complex dysregulation of lipid metabolism occurs in COVID-19, leading to reduced total cholesterol (TC), LDL-cholesterol (LDL-C), and HDL-cholesterol (HDL-C) levels, along with a derangement of thyroid function, leading to reduced thyroid-stimulating hormone (TSH) levels. This study aimed to explore the association between TSH levels during COVID-19 and the variation (Δ) of lipid profile parameters in the period preceding (from 1 month up to 1 year) hospital admission due to COVID-19. Clinical data of 324 patients (mean age 76 ± 15 years, 54% males) hospitalized due to COVID-19 between March 2020 and March 2022 were retrospectively analyzed. The association between TSH levels at hospital admission and either Δ-TC, Δ-LDL-C, or Δ-HDL-C over the selected time frame was assessed through univariable and multivariable analyses. TSH levels were below the lower reference limit of 0.340 μUI/mL in 14% of COVID-19 patients. A significant reduction of plasma TC, LDL-C, and HDL-C was recorded between the two time points (p < 0.001 for all the comparisons). TSH was directly associated with Δ-TC (rho = 0.193, p = 0.001), Δ-LDL-C (rho = 0.201, p = 0.001), and Δ-HDL-C (rho = 0.160, p = 0.008), and inversely associated with C-reactive protein (CRP) (rho = −0.175, p = 0.004). Moreover, TSH decreased with increasing COVID-19 severity (p < 0.001). CRP and COVID-19 severity were inversely associated with Δ-TC, Δ-LDL-C, and Δ-HDL-C (p < 0.05 for all associations). A significant independent association was found between TSH and either Δ-TC (β = 0.125, p = 0.044) or Δ-LDL-C (β = 0.131, p = 0.036) after adjusting for multiple confounders including CRP and COVID-19 severity. In conclusion, lower levels of TSH may contribute to explain TC and LDL-C reduction in the acute phase of COVID-19.