The clinical presentations of COVID-19 may range from an asymptomatic or mild infection to a critical or fatal disease. Several host factors such as elderly age, male gender, and previous comorbidities seem to be involved in the most severe outcomes, but also an impaired immune response that causes a hyperinflammatory state but is unable to clear the infection. In order to get further understanding about this impaired immune response, we aimed to determine the association of specific HLA alleles with different clinical presentations of COVID-19. Therefore, we analyzed HLA Class I and II, as well as KIR gene sequences, in 72 individuals with Spanish Mediterranean Caucasian ethnicity who presented mild, severe, or critical COVID-19, according to their clinical characteristics and management. This cohort was recruited in Madrid (Spain) during the first and second pandemic waves between April and October 2020. There were no significant differences in HLA-A or HLA-B alleles among groups. However, despite the small sample size, we found that HLA-C alleles from group C1 HLA-C*08:02, -C*12:03, or -C*16:01 were more frequently associated in individuals with mild COVID-19 (43.8%) than in individuals with severe (8.3%; p = 0.0030; pc = 0.033) and critical (16.1%; p = 0.0014; pc = 0.0154) disease. C1 alleles are supposed to be highly efficient to present peptides to T cells, and HLA-C*12:03 may present a high number of verified epitopes from abundant SARS-CoV-2 proteins M, N, and S, thereby being allegedly able to trigger an efficient antiviral response. On the contrary, C2 alleles are usually poorly expressed on the cell surface due to low association with β2-microglobulin (β2M) and peptides, which may impede the adequate formation of stable HLA-C/β2M/peptide heterotrimers. Consequently, this pilot study described significant differences in the presence of specific HLA-C1 alleles in individuals with different clinical presentations of COVID-19, thereby suggesting that HLA haplotyping could be valuable to get further understanding in the underlying mechanisms of the impaired immune response during critical COVID-19.