Despite the pivotal role of IFN‐λs in the innate immune response, the data on its genetic polymorphism in relation to COVID‐19 severity are scarce and contradictory. In the present study, we aimed to determine if the presence of the most frequent functional single nucleotide polymorphisms (SNPs) of the two most important IFN‐λs coding genes, namely IFNL3 and IFNL4, alters the likelihood of SARS‐CoV‐2‐infected patients to develop more severe form of the disease. This observational cohort study involved 178 COVID‐19 patients hospitalized at the University Clinical Centre Kragujevac, Serbia. Patients' demographics, clinical characteristics, and laboratory parameters were collected at admission. COVID‐19 signs and symptoms were assessed during the hospital stay, with the worst condition determining the disease severity. Genotyping for IFNL3 (rs12980275 and rs8099917) and IFNL4 (rs12979860 and rs368234815) SNPs was conducted using TaqMan assays. Our study revealed carriers of IFNL3 and IFNL4 minor alleles to be less likely to progress from mild to moderate COVID‐19, that is, to develop COVID‐19‐related pneumonia. After adjustment for other factors of influence, such as age, sex, and comorbidities, the likelihood of pneumonia development remained significantly associated with IFNL4 polymorphism (odds ratios [ORs] [95% confidence interval (95% CI)]: 0.233 [0.071; 0.761]). When the patients were stratified according to sex, the protective role of IFNL4 minor alleles, controlled for the effect of comorbidities, remained significant only in females (OR [95% CI]: 0.035 [0.003; 0.408]). Our results strongly suggest that IFNL4 rs12979860 and rs368234815 polymorphisms independently predict the risk of COVID‐19‐related pneumonia development in females.