Background: Oscillometry allows for the non-invasive measurements of lung mechanics. In COVID-19 ARDS patients treated with Non-Invasive Oxygen Support (NI-OS), we aimed to (1) observe lung mechanics at the patients’ admission and their subsequent changes, (2) compare lung mechanics with clinical and imaging data, and (3) evaluate whether lung mechanics helps to predict clinical outcomes. Methods: We retrospectively analyzed the data from 37 consecutive patients with moderate–severe COVID-19 ARDS. Oscillometry was performed on their 1st, 4th, and 7th day of hospitalization. Resistance (R5), reactance (X5), within-breath reactance changes (ΔX5), and the frequency dependence of the resistance (R5–R19) were considered. Twenty-seven patients underwent computed tomographic pulmonary angiography (CTPA): collapsed, poorly aerated, and normally inflated areas were quantified. Adverse outcomes were defined as intubation or death. Results: Thirty-two patients were included in this study. At the first measurement, only 44% of them had an abnormal R5 or X5. In total, 23 patients had measurements performed on their 3rd day and 7 on their 7th day of hospitalization. In general, their R5, R5–R19, and ΔX decreased with time, while their X5 increased. Collapsed areas on the CTPA correlated with the X5 z-score (ρ = −0.38; p = 0.046), while poorly aerated areas did not. Seven patients had adverse outcomes but did not present different oscillometry parameters on their 1st day of hospitalization. Conclusions: Our study confirms the feasibility of oscillometry in critically ill patients with COVID-19 pneumonia undergoing NI-OS. The X5 z-scores indicates collapsed but not poorly aerated lung areas in COVID-19 pneumonia. Our data, which show a severe impairment of gas exchange despite normal reactance in most patients with COVID-19 ARDS, support the hypothesis of a composite COVID-19 ARDS physiopathology.