COVID-19 has been a challenge at the healthcare level not only in the early stages of the pandemic, but also in the subsequent appearance of long-term COVID-19. Several investigations have attempted to identify proteomic biomarkers in an attempt to improve clinical care, guide treatment and predict possible patient outcomes. Proteins such as C-reactive protein (CRP) or interleukin 6 (IL-6) are clear markers of severe disease, but many others have been proposed that could help in risk stratification and in the prediction of specific complications. This review aims to bring together the most relevant studies in this regard, providing information to identify the most notable biomarkers in relation to COVID-19 found to date.