Identifying specific diagnostic and prognostic biological markers of COVID-19 can improve disease surveillance and therapeutic opportunities. Mass spectrometry combined with machine and deep learning techniques has been used to identify pathways that could be targeted therapeutically. Moreover, circulating biomarkers have been identified to detect individuals infected with SARS-CoV-2 and at high risk of hospitalization. In this review, we have surveyed studies that have combined mass spectrometry-based omics techniques (proteomics, lipdomics, and metabolomics) and machine learning/deep learning to understand COVID-19 pathogenesis. After a literature search, we show 42 studies that applied reproducible, accurate, and sensitive mass spectrometry-based analytical techniques and machine/deep learning methods for COVID-19 biomarker discovery and validation. We also demonstrate that multiomics data results in classification models with higher performance. Furthermore, we focus on the combination of MALDI-TOF Mass Spectrometry and machine learning as a diagnostic and prognostic tool already present in the clinics. Finally, we reiterate that despite advances in this field, more optimization in the analytical and computational parts, such as sample preparation, data acquisition, and data analysis, will improve biomarkers that can be used to obtain more accurate diagnostic and prognostic tools.