Coronavirus disease 2019 (COVID-19) distresses the pulmonary system causing acute respiratory distress syndrome, which might lead to death. There is no cure for COVID-19 infection. COVID-19 is a self-limited infection, and the methods that can enhance immunity are strongly required. Enhancing oxygenation is one safe and effective intervention to enhance immunity and pulmonary functions. This review deliberates the probable influences of enhancing oxygenation on immunity and other health-connected conditions in patients with COVID-19. An extensive search was conducted through Web of Science, Scopus, Medline databases, and EBSCO for the influence of enhancing oxygenation on immunity, pulmonary functions, psycho-immune hormones, and COVID-19 risk factors. This search included clinical trials and literature and systematic reviews. This search revealed that enhancing oxygenation has a strong effect on improving immunity and pulmonary functions and psycho-immune hormones. Also, enhancing oxygenation has a self-protective role counter to COVID-19 risk factors. Lastly, this search revealed the recommended safe and effective exercise protocol to enhance oxygenation in patients with COVID-19. Enhancing oxygenation should be involved in managing patients with COVID-19 because of its significant effects on immunity, pulmonary functions, and COVID-19 risk factors. A mild to moderate cycling or walking with 60%-80% Vo for 20-60 min performed 2-3 times per week could be a safe and effective aerobic exercise program in patients with COVID-19 to enhance their immunity and pulmonary functions.