Lipids are indispensable in the SARS-CoV-2 infection process. The clinical significance of plasma lipid profile during COVID-19 has not been rigorously evaluated. We aim to ascertain the association of the plasma lipid profile with SARS-CoV-2 infection clinical evolution. Observational cross-sectional study including 1411 hospitalized patients with COVID-19 and an available standard lipid profile prior (n: 1305) or during hospitalization (n: 297). The usefulness of serum total, LDL, non-HDL and HDL cholesterol to predict the COVID-19 prognosis (severe vs mild) was analysed. Patients with severe COVID-19 evolution had lower HDL cholesterol and higher triglyceride levels before the infection. The lipid profile measured during hospitalization also showed that a severe outcome was associated with lower HDL cholesterol levels and higher triglycerides. HDL cholesterol and triglyceride concentrations were correlated with ferritin and D-dimer levels but not with CRP levels. The presence of atherogenic dyslipidaemia during the infection was strongly and independently associated with a worse COVID-19 infection prognosis. The low HDL cholesterol and high triglyceride concentrations measured before or during hospitalization are strong predictors of a severe course of the disease. The lipid profile should be considered as a sensitive marker of inflammation and should be measured in patients with COVID-19.