Throughout the early stages of the COVID-19 pandemic in Mexico (August—December 2020), we closely followed a cohort of n = 100 healthcare workers. These workers were initially seronegative for Immunoglobulin G (IgG) antibodies against SARS-CoV-2, the virus that causes COVID-19, and maintained close contact with patients afflicted by the disease. We explored the database of demographic, physiological and laboratory parameters of the cohort recorded at baseline to identify potential risk factors for infection with SARS-CoV-2 at a follow-up evaluation six months later. Given that susceptibility to infection may be a systemic rather than a local property, we hypothesized that a multivariate statistical analysis, such as MANOVA, may be an appropriate statistical approach. Our results indicate that susceptibility to infection with SARS-CoV-2 is modulated by sex. For men, different physiological states appear to exist that predispose to or protect against infection, whereas for women, we did not find evidence for divergent physiological states. Intriguingly, male participants who remained uninfected throughout the six-month observation period, had values for mean arterial pressure and waist-to-hip ratio that exceeded the normative reference range. We hypothesize that certain risk factors that worsen the outcome of COVID-19 disease, such as being overweight or having high blood pressure, may instead offer some protection against infection with SARS-CoV-2.