It is essential to understand the impact of social inequalities on the risk of COVID-19 infection in order to mitigate the social consequences of the pandemic. With this aim, the objective of our study was to analyze the effect of socioeconomic inequalities, both at the individual and area of residence levels, on the probability of COVID-19 confirmed infection, and its variations across three pandemic waves. We conducted a retrospective cohort study and included data from all individuals tested for COVID-19 during the three waves of the pandemic, from March to December 2020 (357,989 individuals) in Aragón (Spain). We studied the effect of inequalities on the risk of having a COVID-19 confirmed diagnosis after being tested using multilevel analyses with two levels of aggregation: individuals and basic healthcare area of residence (deprivation level and type of zone). Inequalities in the risk of COVID-19 confirmed infection were observed at both the individual and area level. There was a predominance of low-paid employees living in deprived areas. Workers with low salaries, unemployed and people on minimum integration income or who no longer receive the unemployment allowance, had a higher probability of COVID-19 infection than workers with salaries ≥ €18,000 per year. Inequalities were greater in women and in the second wave. The deprivation level of areas of residence influenced the risk of COVID-19 infection, especially in the second wave. It is necessary to develop individual and area coordinated measures by areas in the control, diagnosis and treatment of the epidemic, in order to avoid an increase in the already existing inequalities.