Pneumothorax (PNX) and pneumomediastinum (PNM) are potential complications of COVID-19, but their influence on patients’ outcomes remains unclear. The aim of the study was to assess incidence, risk factors, and outcomes of severe COVID-19 complicated with PNX/PNM. Methods: A retrospective multicenter case-control analysis was conducted in COVID-19 patients admitted for respiratory failure in intermediate care units of the Treviso area, Italy, from March 2020 to April 2021. Clinical characteristics and outcomes of patients with and without PNX/PNM were compared. Results: Among 1213 patients, PNX and/or PNM incidence was 4.5%. Among these, 42% had PNX and PNM, 33.5% only PNX, and 24.5% only PNM. COVID-19 patients with PNX/PNM showed higher in-hospital (p = 0.02) and 90-days mortality (p = 0.048), and longer hospitalization length (p = 0.002) than COVID-19 patients without PNX/PNM. At PNX/PNM occurrence, one-third of subjects was not mechanically ventilated, and the respiratory support was similar to the control group. PNX/PNM occurrence was associated with longer symptom length before hospital admission (p = 0.005) and lower levels of blood lymphocytes (p = 0.017). Conclusion: PNX/PNM are complications of COVID-19 associated with a worse prognosis in terms of mortality and length of hospitalization. Although they are more frequent in ventilated patients, they can occur in non-ventilated, suggesting that mechanisms other than barotrauma might contribute to their presentation.