Background: SARS-CoV-2 related immunopathology may be the driving cause underlying severe COVID-19. Through an immunophenotyping analysis on paired bronchoalveolar lavage fluid (BALF) and blood samples collected from mechanically ventilated patients with COVID-19-associated Acute Respiratory Distress Syndrome (CARDS), this study aimed to evaluate the cellular immune responses in survivors and non-survivors of COVID-19. Methods: A total of 36 paired clinical samples of bronchoalveolar lavage fluid (BALF) mononuclear cells (BALF-MC) and peripheral blood mononuclear cells (PBMC) were collected from 18 SARS-CoV-2-infected subjects admitted to the intensive care unit (ICU) of the Policlinico Umberto I, Sapienza University Hospital in Rome (Italy) for severe interstitial pneumonia. The frequencies of monocytes (total, classical, intermediate and non-classical) and Natural Killer (NK) cell subsets (total, CD56bright and CD56dim), as well as CD4+ and CD8+ T cell subsets [naïve, central memory (TCM) and effector memory (TEM)], and those expressing CD38 and/or HLADR were evaluated by multiparametric flow cytometry. Results: Survivors with CARDS exhibited higher frequencies of classical monocytes in blood compared to non-survivors (p < 0.05), while no differences in the frequencies of the other monocytes, NK cell and T cell subsets were recorded between these two groups of patients (p > 0.05). The only exception was for peripheral naïve CD4+ T cells levels that were reduced in non-survivors (p = 0.04). An increase in the levels of CD56bright (p = 0.012) and a decrease in CD56dim (p = 0.002) NK cell frequencies was also observed in BALF-MC samples compared to PBMC in deceased COVID-19 patients. Total CD4+ and CD8+ T cell levels in the lung compartment were lower compared to blood (p = 0.002 and p < 0.01, respectively) among non-survivors. Moreover, CD38 and HLA-DR were differentially expressed by CD4+ and CD8+ T cell subsets in BALF-MC and in PBMC among SARS-CoV-2-infected patients who died from COVID-19 (p < 0.05). Conclusions: These results show that the immune cellular profile in blood and pulmonary compartments was similar in survivors and non-survivors of COVID-19. T lymphocyte levels were reduced, but resulted highly immune-activated in the lung compartment of patients who faced a fatal outcome.