While several genes and clinical traits have been associated with higher risk of severe COVID-19, how host genetic variants may interact with these parameters and contribute to severe disease is still unclear. Herein, we performed phenome-wide association study (PheWAS), tissue and immune-cell specific expression/splicing quantitative trait loci (eQTL/sQTL), and colocalization analyses for genetic risk loci suggestively associated with severe COVID-19 with respiratory failure. Thirteen phenotypes/traits were associated with the severe COVID-19-associated loci at the genome-wide significance threshold, including monocyte counts, fat metabolism traits, and fibrotic idiopathic interstitial pneumonia. In addition, we identified tissue and immune subtype-specific eQTL associations affecting 48 genes, including several that may directly impact host immune responses, colocalized with the severe COVID-19 GWAS associations, and showed altered expression in single-cell transcriptomes. Collectively, our work demonstrates that host genetic variations associated with multiple genes and traits show genetic pleiotropy with severe COVID-19 and may inform disease etiology.