Objectives: To describe the frequency of COVID-19 and the effect of vaccination in patients with interstitial lung disease and systemic autoimmune disease (ILD-SAD) and to identify factors associated with infection and severity of COVID-19. Methods: We performed a cross-sectional multicenter study of patients with ILD-SAD followed between June and October 2021. The main variable was COVID-19 infection confirmed by a positive polymerase chain reaction (PCR) result for SARS-CoV-2. The secondary variables included severity of COVID-19, if the patient had to be admitted to hospital or died of the disease, and vaccination status. Other variables included clinical and treatment characteristics, pulmonary function and high-resolution computed tomography. Two logistic regression was performed to explore factors associated with “COVID-19” and “severe COVID-19”. Results: We included 176 patients with ILD-SAD: 105 (59.7%) had rheumatoid arthritis, 49 (27.8%) systemic sclerosis, and 22 (12.54%) inflammatory myopathies. We recorded 22/179 (12.5%) SARS-CoV-2 infections, 7/22 (31.8%) of them were severe and 3/22 (13.22%) died. As to the vaccination, 163/176 (92.6%) patients received the complete doses. The factors associated with SARS-CoV-2 infection were FVC (OR (95% CI), 0.971 (0.946–0.989); p = 0.040), vaccination (OR (95% CI), 0.169 (0.030–0.570); p = 0.004), and rituximab (OR (95% CI), 3.490 (1.129–6.100); p = 0.029). The factors associated with severe COVID-19 were the protective effect of the vaccine (OR (95% CI), 0.024 (0.004–0.170); p < 0.001) and diabetes mellitus (OR (95% CI), 4.923 (1.508–19.097); p = 0.018). Conclusions: Around 13% of patients with ILD-SAD had SARS-CoV-2 infection, which was severe in approximately one-third. Most patients with severe infection were not fully vaccinated.