During the COVID-19 pandemic, the behavior of self-medication has increased. The dissemination of misleading information regarding the efficacy of certain drugs or substances for the prevention and treatment of COVID-19 has been the major contributing factor for this phenomenon. Alongside with the increase in self-medication behavior, the inherent risks to this act such as drug–drug interactions, adverse events, drug toxicity, and masking of symptoms have also increased. Self-medication in the context of COVID-19 has led to drug misuse leading in some cases to the development of fatal adverse drug reactions. It is important that during this ongoing pandemic drugs with potential clinical efficacy against COVID-19 are adequately analyzed regarding their efficacy, safety, and monitoring. The aim of this review is to describe the available evidence regarding the efficacy, safety, and monitoring of the drugs and substances that have been shown to be frequently used for self-medication in patients with COVID-19 (hydroxychloroquine, non-steroidal anti-inflammatory drugs, ivermectin, azithromycin, vitamins, aspirin, and chlorine dioxide) to adequately characterize their risks, safe use, monitoring strategies, and to reinforce the concept that these substances should not be used for self-medication and require a medical prescription. Plain Language Summary Drug safety of frequently used drugs and substances for self-medication in COVID-19 Dissemination of information about potential COVID-19 treatments has led individuals to self-medicate and expose themselves to risks such as drug–drug interactions, side effects, antibiotic resistance, and misdiagnosis. There is a need to review the medical literature to evaluate the safety and efficacy of the drugs and substances commonly used by the population for the treatment and prevention of SARS CoV-2 infection. In this review, we included drugs that are frequently used for self-medication and commonly advertised such as ivermectin, hydroxychloroquine, chlorine dioxide, azithromycin, and non-steroidal anti-inflammatory drugs, among others. A brief introduction of the drug and its mechanism of action, followed by a summary of the efficacy in COVID-19 and safety, will be described for each drug in order to promote their responsible use.