In humans, SARS-CoV-2 (severe acute respiratory syndrome coronavirus 2) is highly infective, often causes severe acute and/or long-term illness, and elicits a high rate of mortality, even in countries with sophisticated medical systems. Detailed knowledge on the immune responses underpinning COVID-19 (coronavirus disease 2019), and on strategies SARS-CoV-2 uses to evade them, can provide pivotal guidance to researchers and clinicians developing and administering potentially life-saving immunomodulatory therapies. The need for such therapies in COVID-19 is unlikely to abate soon given the emergence of variants of concern that may pose new challenges for some vaccines and neutralizing antibodies. Here, we summarize current knowledge on COVID-19 immunopathogenesis in relation to three clinical disease stages and focus on immune evasion strategies used by pathogenic coronaviruses such as skewing type I, II, and III interferon responses and inhibiting detection via pattern recognition and antigen presentation. Insights gained from bats, which exhibit minimal disease in response to SARS-CoV-2 infection, offer an informative perspective and may guide future development of new therapies. We also discuss how knowledge of immunopathology may inform therapeutic decisions, for example, on selecting the most appropriate immunotherapeutic agents and timing their administration, to reduce morbidity and mortality of COVID-19.