The novel SARS-CoV-2 virus has led to a severe pandemic, starting from early 2020. Intensive care (ICU) management of the COVID-19 disease is difficult with high morbidity and mortality. Early nutritional support, especially with whey protein, seems to be crucial in this medical case. Thus, we aimed to assess the effects of an adequate nutritional protocol rich in whey protein on nutritional and inflammatory status, extubating time, and mortality of critically ill COVID-19 patients (CICP). Methods: A prospective single-center exploratory observational study was undertaken on 32 consecutive CICP admitted to the ICU of Santa Maria Hospital, Terni, Italy, and treated with whey protein-enriched formula. Patients’ demographics, nutritional status, indexes of inflammation, daily pre-albumin serum levels, duration of mechanical ventilation, and mortality were recorded. Results: Thirty-two patients were enrolled. Ninety-five percent of them showed a gradual reduction in C-reactive protein (CRP) values and increase in pre-albumin levels after the whey protein-enriched formula. Prealbumin levels were not correlated with a better nutritional status but with a shorter extubating time and better survival. Conclusions: An adequate administration of whey protein during COVID-19 patients’ ICU stays can provide fast achievement of protein targets, reducing the duration of mechanical ventilation, and improving inflammatory status and ICU survival. Further prospective and large-scale, controlled studies are needed to confirm these results.