Assess the predictive accuracy of the WHO COVID-19 severity classification on COVID-19 hospitalized patients. The secondary aim was to compare its predictive power with a new prediction model, named COVID-19 EPI-SCORE, based on a Bayesian network analysis. Methods: We retrospectively analyzed a population of 295 COVID-19 RT-PCR positive patients hospitalized at Epicura Hospital Center, Belgium, admitted between March 1st and April 30th, 2020. Results: Our cohort’s median age was 73 (62–83) years, and the female proportion was 43%. All patients were classified following WHO severity classification at admission. In total, 125 (42.4%) were classified as Moderate, 69 (23.4%) as Severe, and 101 (34.2%) as Critical. Death proportions through these three classes were 11.2%, 33.3%, and 67.3%, respectively, and the proportions of critically ill patients (dead or needed Invasive Mechanical Ventilation) were 11.2%, 34.8%, and 83.2%, respectively. A Bayesian network analysis was used to create a model to analyze predictive accuracy of the WHO severity classification and to create the EPI-SCORE. The six variables that have been automatically selected by our machine learning algorithm were the WHO severity classification, acute kidney injury, age, Lactate Dehydrogenase Levels (LDH), lymphocytes and activated prothrombin time (aPTT). Receiver Operation Characteristic (ROC) curve indexes hereby obtained were 83.8% and 91% for the models based on WHO classification only and our EPI-SCORE, respectively. Conclusions: Our study shows that the WHO severity classification is reliable in predicting a severe outcome among COVID-19 patients. The addition to this classification of a few clinical and laboratory variables as per our COVID-19 EPI-SCORE has demonstrated to significantly increase its accuracy.