Currently, the COVID-19 pandemic, caused by the novel SARS-CoV-2 coronavirus, represents the greatest global health threat. Most people infected by the virus present mild to moderate respiratory symptoms and recover with supportive treatments. However, certain susceptible hosts develop an acute respiratory distress syndrome (ARDS), associated with an inflammatory "cytokine storm", leading to lung damage. Despite the current availability of different COVID-19 vaccines, the new emerging SARS-CoV-2 genetic variants represent a major concern worldwide, due to their increased transmissibility and rapid spread. Indeed, it seems that some mutations or combinations of mutations might confer selective advantages to the virus, such as the ability to evade the host immune responses elicited by COVID-19 vaccines. Several therapeutic approaches have been investigated but, to date, a unique and fully effective therapeutic protocol has not yet been achieved. In addition, steroid-based therapies, aimed to reduce inflammation in patients with severe COVID-19 disease, may increase the risk of opportunistic infections, increasing the hospitalization time and mortality rate of these patients. Hence, there is an unmet need to develop more effective therapeutic options. Here, we discuss the potential use of natural immunomodulators such as Thymosin α1 (Tα1), all-trans retinoic acid (ATRA), and lactoferrin (LF), as adjunctive or preventive treatment of severe COVID-19 disease. These agents are considered to be multifunctional molecules because of their ability to enhance antiviral host immunity and restore the immune balance, depending on the host immune status. Furthermore, they are able to exert a broad-spectrum antimicrobial activity by means of direct interactions with cellular or molecular targets of pathogens or indirectly by increasing the host immune response. Thus, due to the aforementioned properties, these agents might have a great potential in a clinical setting, not only to counteract SARS-CoV-2 infection, but also to prevent opportunistic infections in critically ill COVID-19 patients.