Infection with severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) causes a disease (coronavirus disease 2019, COVID-19) that may develop into a systemic disease with immunosuppression and death in its severe form. Myeloid-derived suppressive cells (MDSCs) are inhibitory cells that contribute to immunosuppression in patients with cancer and infection. Increased levels of MDSCs have been found in COVID-19 patients, although their role in the pathogenesis of severe COVID-19 has not been clarified. For this reason, we raised the question whether MDSCs could be useful in the follow-up of patients with severe COVID-19 in the intensive care unit (ICU). Thus, we monitored the immunological cells, including MDSCs, in 80 patients admitted into the ICU. After 1, 2, and 3 weeks, we examined for a possible association with mortality (40 patients). Although the basal levels of circulating MDSCs did not discriminate between the two groups of patients, the last measurement before the endpoint (death or ICU discharge) showed that patients discharged alive from the ICU had lower levels of granulocytic MDSCs (G-MDSCs), higher levels of activated lymphocytes, and lower levels of exhausted lymphocytes compared with patients who had a bad evolution (death). In conclusion, a steady increase of G-MDSCs during the follow-up of patients with severe COVID-19 was found in those who eventually died.