The emergence of SARS-CoV-2 virus and its associated disease COVID-19 have triggered significant threats to public health, in addition to political and social changes. An important number of studies have reported the onset of symptoms compatible with pneumonia accompanied by coagulopathy and lymphocytopenia during COVID-19. Increased cytokine levels, the emergence of acute phase reactants, platelet activation and immune checkpoint expression are some of the biomarkers postulated in this context. As previously observed in prolonged sepsis, T-cell exhaustion due to SARS-CoV-2 and even their reduction in numbers due to apoptosis hinder the response to the infection. In this review, we synthesized the immune changes observed during COVID-19, the role of immune molecules as severity markers for patient stratification and their associated therapeutic options.