Abstract Background We examined whether the greater severity of coronavirus disease 2019 (COVID-19) amongst men and Black, Asian and Minority Ethnic (BAME) individuals is explained by cardiometabolic, socio-economic or behavioural factors. Methods We studied 4510 UK Biobank participants tested for COVID-19 (positive, n = 1326). Multivariate logistic regression models including age, sex and ethnicity were used to test whether addition of (1) cardiometabolic factors [diabetes, hypertension, high cholesterol, prior myocardial infarction, smoking and body mass index (BMI)]; (2) 25(OH)-vitamin D; (3) poor diet; (4) Townsend deprivation score; (5) housing (home type, overcrowding) or (6) behavioural factors (sociability, risk taking) attenuated sex/ethnicity associations with COVID-19 status. Results There was over-representation of men and BAME ethnicities in the COVID-19 positive group. BAME individuals had, on average, poorer cardiometabolic profile, lower 25(OH)-vitamin D, greater material deprivation, and were more likely to live in larger households and in flats/apartments. Male sex, BAME ethnicity, higher BMI, higher Townsend deprivation score and household overcrowding were independently associated with significantly greater odds of COVID-19. The pattern of association was consistent for men and women; cardiometabolic, socio-demographic and behavioural factors did not attenuate sex/ethnicity associations. Conclusions In this study, sex and ethnicity differential pattern of COVID-19 was not adequately explained by variations in cardiometabolic factors, 25(OH)-vitamin D levels or socio-economic factors. Factors which underlie ethnic differences in COVID-19 may not be easily captured, and so investigation of alternative biological and genetic susceptibilities as well as more comprehensive assessment of the complex economic, social and behavioural differences should be prioritised.