The ongoing coronavirus disease 2019 (COVID-19) pandemic has swept over the world and causes thousands of deaths. Although the clinical features of COVID-19 become much clearer than before, there are still further problems with the pathophysiological process and treatments of severe patients. One primary problem is with the paradoxical immune states in severe patients with COVID-19. Studies indicate that Severe Acute Respiratory Syndrome Coronavirus 2 can attack the immune system, manifested as a state of immunosuppression with a decrease in lymphocytes, whereas a state of hyperinflammation, presenting as elevated cytokine levels, is also detected in COVID-19. Therefore, discussing the specific status of immunity in COVID-19 will contribute to the understanding of its pathophysiology and the search for appropriate treatments. Here, we review all the available literature concerning the different immune states in COVID-19 and the underlying pathophysiological mechanisms. In addition, the association between immune states and the development and severity of disease as well as the impact on the selection of immunotherapy strategies are discussed in our review.