Background/Objectives: Central nervous system (CNS) involvement is a complication of COVID-19, adding to disease burden. The aim of this study is to identify the risk factors independently associated with CNS involvement in a cohort of patients hospitalized with severe forms of COVID-19 and the risk factors associated with all causes of in-hospital mortality and assess the impact of CNS involvement on in-hospital mortality of the severe COVID-19 patients. Methods: We performed a retrospective observational cohort study including adult patients with severe or critical forms of COVID-19 with and without new-onset CNS manifestations between March 2020 and December 2022. Results: We included 162 patients, 50 of which presented with CNS involvement. Independent risk factors for CNS involvement were female sex (p = 0.04, OR 3.67, 95%CI 1.05–12.85), diabetes mellitus (p = 0.008, OR 5.08, 95%CI 1.519–17.04)), lymphocyte count (0.04, OR 0.23, 95%CI 0.05–0.97), platelets count (p = 0.001, OR 0.98, 95%CI 0.98–0.99) CRP value (p = 0.04, OR 1.007, 95%CI 1.000–1.015), and CK value (p = 0.004, OR 1.003, 95%CI 1.001–1.005). Obesity was a protective factor (p < 0.001, OR 0.57, 95%CI 0.016–0.20). New-onset CNS manifestations (p = 0.002, OR 14.48, 95%CI 2.58–81.23) were independent risk factors for in-hospital mortality. In-hospital mortality was higher in the new-onset CNS involvement group compared to patients without neurological involvement, 44% versus 7.1% (p < 0.001). Conclusions: CNS involvement in severe COVID-19 patients contributes to all causes of in-hospital mortality. There are several risk factors associated with new-onset CNS manifestations and preventing and controlling them could have an important impact on patients’ outcome.