Background: The SARS-CoV-2 infection has occurred in neonates, but it is a fact that radiation exposure is not recommended given their age. The aim of this review is to assess the evidence on the utility of lung ultrasound (LUS) in neonates diagnosed with COVID-19. Methods: A systematic literature review was performed so as to find a number of published studies assessing the benefits of lung ultrasound for newborns diagnosed with COVID and, in the end, to make a comparison between LUS and the other two more conventional procedures of chest X-rays or CT exam. The key terms used in the search of several databases were: “lung ultrasound”, “sonography”, “newborn”, “neonate”, and “COVID-19′. Results: In total, 447 studies were eligible for this review, and after removing the duplicates, 123 studies referring to LU were further examined, but only 7 included cases of neonates. These studies were considered for the present research paper. Conclusions: As a non-invasive, easy-to-use, and reliable method for lung lesion detection in neonates with COVID-19, lung ultrasound can be used as a useful diagnosis tool for the evaluation of COVID-19-associated lung lesions. The benefits of this method in this pandemic period are likely to arouse interest in opening new research horizons, with immediate practical applicability.