We report an observational study performed between March and May 2020 in a Spanish university hospital during the SARS-CoV-2 pandemic. The main objective was to analyse the association between the levels of micronutrients in severe COVID-19 patients and their outcome. Adult patients with a positive polymerase-chain-reaction (PCR) for SARS-CoV-2 in the nasopharyngeal swab or in tracheal aspirate culture in the case of intubation were included. Micronutrient data were obtained from plasma analysis of a standard nutritional assessment performed within the first 24 h of hospital admission. Vitamins A, B6, C and E were analysed with HPLC methods; 25-OH-vitamin D by immunoassay and zinc by colorimetric measurements. One hundred and twenty patients were included. We found that 74.2% patients had low levels of zinc (normal levels >84 µg/dL) with a mean value of 63.5 (SD 13.5); 71.7% patients had low levels of vitamin A (normal levels >0.3 mg/L) with a mean value of 0.17 (SD 0.06); 42.5% patients had low levels of vitamin B6 (normal levels >3.6 ng/mL) with a mean value of 2.2 (SD 0.9); 100% patients had low levels of vitamin C (normal levels >0.4 mg/dL) with a mean value of 0.14 (SD 0.05); 74.3% patients had low values of vitamin D (normal levels >20 ng/mL) with mean value of 11.4 (SD 4.3); but only 5.8% of patients had low levels of vitamin E (normal levels >5 mg/L) with a mean value of 3.95 (SD 0.87). The variables associated with the need for ICU admission were low levels of zinc (standard error 0.566, 95% CI 0.086 to 0.790, p = 0.017), low levels of vitamin A (standard error 0.582, 95% CI 0.061 to 0.594, p = 0.004), age over 65 (standard error 0.018, 95% CI 0.917 to 0.985, p = 0.005) and male gender (standard error 0.458, 95% CI 1.004 to 6.040, p = 0.049). The only variable that was independently associated with the need for orotracheal intubation was low levels of vitamin A (standard error 0.58, 95% CI 0.042 to 0.405, p = 0.000). Conclusions: Low levels of vitamin A and zinc are associated with a greater need for admission to the ICU and orotracheal intubation. Patients older than 65 years had higher mortality. Randomized clinical trials are needed to examine whether micronutrient supplementation could be beneficial as an adjunctive treatment in COVID-19.