The spectrum of COVID-19 infection includes acute respiratory distress syndrome (ARDS) and macrophage activation syndrome (MAS), although the histological basis for these disorders has not been thoroughly explored. Post-mortem pulmonary and bone marrow biopsies were performed in 33 patients. Samples were studied with a combination of morphological and immunohistochemical techniques. Bone marrow studies were also performed in three living patients. Bone marrow post-mortem studies showed striking lesions of histiocytic hyperplasia with hemophagocytosis (HHH) in most (16/17) cases. This was also observed in three alive patients, where it mimicked the changes observed in hemophagocytic histiocytosis. Pulmonary changes included a combination of diffuse alveolar damage with fibrinous microthrombi predominantly involving small vessels, in particular the alveolar capillary. These findings were associated with the analytical and clinical symptoms, which helps us understand the respiratory insufficiency and reveal the histological substrate for the macrophage activation syndrome-like exhibited by these patients. Our results confirm that COVID-19 infection triggers a systemic immune-inflammatory disease and allow specific therapies to be proposed.