The main objective of this study was to determine the influence of the cytotoxic activity of peripheral blood mononuclear cells (PBMCs) on the outcome of unvaccinated individuals with critical COVID-19 admitted to the ICU. Blood samples from 23 individuals were collected upon admission and then every 2 weeks for 13 weeks until death (Exitus group) (n = 13) or discharge (Survival group) (n = 10). We did not find significant differences between groups in sociodemographic, clinical, or biochemical data that may influence the fatal outcome. However, direct cellular cytotoxicity of PBMCs from individuals of the Exitus group against pseudotyped SARS-CoV-2-infected Vero E6 cells was significantly reduced upon admission (−2.69-fold; p = 0.0234) and after 4 weeks at the ICU (−5.58-fold; p = 0.0290), in comparison with individuals who survived, and it did not improve during hospitalization. In vitro treatment with IL-15 of these cells did not restore an effective cytotoxicity at any time point until the fatal outcome, and an increased expression of immune exhaustion markers was observed in NKT, CD4+, and CD8+ T cells. However, IL-15 treatment of PBMCs from individuals of the Survival group significantly increased cytotoxicity at Week 4 (6.18-fold; p = 0.0303). Consequently, immunomodulatory treatments that may overcome immune exhaustion and induce sustained, efficient cytotoxic activity could be essential for survival during hospitalization due to critical COVID-19.