COVID-19 disease has been a challenge for health systems worldwide due to its high transmissibility, morbidity, and mortality. Severe COVID-19 is associated with an imbalance in the immune response, resulting in a cytokine storm and a hyperinflammation state. While hematological parameters correlate with prognosis in COVID patients, their predictive value has not been evaluated specifically among those severely ill. Therefore, we aim to evaluate the role of hematological and immune response biomarkers as a prognostic factor in critically ill patients with COVID-19 admitted to the intensive care unit. From May 2020 to July 2021, a retrospective cohort study was conducted in a reference hospital in Manaus, which belongs to the Brazilian public health system. This study was carried out as single-center research. Clinical and laboratory parameters were analyzed to evaluate the association with mortality. We also evaluated the role of neutrophil-to-lymphocyte ratio (NLR), lymphocyte-to-monocyte ratio (LMR), platelet-to-lymphocyte ratio (PLR), and C-reactive protein-to-lymphocyte ratio (CLR). We gathered information from medical records, as well as from prescriptions and forms authorizing the use of antimicrobial medications. During the study period, 177 patients were included, with a mean age of 62.58 ± 14.39 years. The overall mortality rate was 61.6%. Age, mechanical ventilation (MV) requirement, leukocytosis, neutrophilia, high c-reactive protein level, NLR, and CLR showed a statistically significant association with mortality in the univariate analysis. In the multivariate logistic regression analysis, only MV (OR 35.687, 95% CI: 11.084–114.898, p< 0.001) and NLR (OR 1.026, 95% CI: 1.003–1.050, p = 0.028) remained statistically associated with the outcome of death (AUC = 0.8096). While the need for mechanical ventilation is a parameter observed throughout the hospital stay, the initial NLR can be a primary risk stratification tool to establish priorities and timely clinical intervention in patients with severe COVID-19 admitted to the ICU.