The clinical course and outcome of COVID-19 are highly variable, ranging from asymptomatic infections to severe disease and death. Understanding the risk factors of severe COVID-19 is relevant both in the clinical setting and at the epidemiological level. Here, we provide an overview of host, viral and environmental factors that have been shown or (in some cases) hypothesized to be associated with severe clinical outcomes. The factors considered in detail include the age and frailty, genetic polymorphisms, biological sex (and pregnancy), co- and superinfections, non-communicable comorbidities, immunological history, microbiota, and lifestyle of the patient; viral genetic variation and infecting dose; socioeconomic factors; and air pollution. For each category, we compile (sometimes conflicting) evidence for the association of the factor with COVID-19 outcomes (including the strength of the effect) and outline possible action mechanisms. We also discuss the complex interactions between the various risk factors.