Three to four months after hospitalisation for COVID-19 pneumonia, the most frequently described alteration in respiratory function tests (RFTs) is decreased carbon monoxide transfer capacity (DLCO). Methods: This is a prospective cohort study that included patients hospitalised because of SARS-CoV-2 pneumonia, three months after their discharge. A clinical evaluation, analytical parameters, chest X-ray, six-minute walk test, spirometry and DLCO–DLNO analysis were performed. Demographic variables, comorbidities, and variables related to the severity of the admission were recorded. Results: Two hundred patients completed the study; 59.5% men, age 62 years, 15.5% admitted to the intensive care unit. The most frequent functional alteration, in 27% of patients, was in the DLCO–DLNO combination. This alteration was associated with age, male sex, degree of dyspnoea, poorer perception of health, and limited ability for physical effort. These patients also presented higher levels of D-Dimer and more residual radiological alterations. In 42% of the patients with diffusion alterations, only reduced DLNO was presented, along with lower D-Dimer levels and less capillary volume involvement. The severity of the process was associated with the reduction in DLCO–DLNO. Conclusions: The most sensitive RFT for the detection of the sequelae of COVID-19 pneumonia was the combined measurement of DLCO–DLNO and this factor was related to patient health status and their capacity for physical exertion. In 40% of these cases, there was only a reduction in DLNO, a finding that may indicate less pulmonary vascular involvement.