Obesity alters the capacity of effective immune responses in infections. To further address this phenomenon in the context of COVID-19, this study investigated how the immunophenotype of leukocytes was altered in individuals with obesity in severe COVID-19. This cross-sectional study enrolled 27 ICU COVID-19 patients (67% women, 56.33 ± 19.55 years) that were assigned to obese (BMI ≥ 30 kg/m2, n = 9) or non-obese (BMI < 30kg/m2, n = 18) groups. Monocytes, NK, and both Low-Density (LD) and High-Density (HD) neutrophils were isolated from peripheral blood samples, and surface receptors’ frequency and expression patterns were analyzed by flow cytometry. Clinical status and biochemical data were additionally evaluated. The frequency of monocytes was negatively correlated with BMI, while NK cells and HD neutrophils were positively associated (p < 0.05). Patients with obesity showed a significant reduction of monocytes, and these cells expressed high levels of PD-L1 (p < 0.05). A higher frequency of NK cells and increased expression of TREM-1+ on HD neutrophils were detected in obese patients (p < 0.05). The expression of receptors related to antigen-presentation, phagocytosis, chemotaxis, inflammation and suppression were strongly correlated with clinical markers only in obese patients (p < 0.05). Collectively, these outcomes revealed that obesity differentially affected, and largely depressed, innate immune response in severe COVID-19.