The main aim of this study was to identify the most relevant cytokines which, when assessed in the earliest stages from hospital admission, may help to select COVID-19 patients with worse prognosis. A retrospective observational study was conducted in 415 COVID-19 patients (272 males; mean age 68 ± 14 years) hospitalized between May 2020 and March 2021. Within the first 72 h from hospital admission, patients were tested for a large panel of biomarkers, including C-reactive protein (CRP), Mid-regional proadrenomedullin (MR-proADM), Interferon-γ, interleukin 6 (IL-6), IL-1β, IL-8, IL-10, soluble IL2-receptor-α (sIL2Rα), IP10 and TNFα. Extensive statistical analyses were performed (correlations, t-tests, ranking tests and tree modeling). The mortality rate was 65/415 (15.7%) and a negative outcome (death and/or orotracheal intubation) affected 98/415 (23.6%) of cases. Univariate tests showed the majority of biomarkers increased in severe patients, but ranking tests helped to select the best variables to put on decisional tree modeling which identified IL-6 as the first dichotomic marker with a cut-off of 114 pg/mL. Then, a good synergy was found between IL-10, MR-proADM, sIL2Rα, IP10 and CRP in increasing the predictive value in classifying patients at risk or not for a negative outcome. In conclusion, beside IL-6, a panel of other cytokines representing the degree of immunoparalysis and the anti-inflammatory response (IP10, sIL2Rα and IL-10) showed synergic role when combined to biomarkers of systemic inflammation and endothelial dysfunction (CRP, MR-proADM) and may also better explain disease pathogenesis and suggests targeted intervention.