COVID-19 pathophysiology is currently not fully understood, reliable prognostic factors remain elusive, and few specific therapeutic strategies have been proposed. In this scenario, availability of biomarkers is a priority. MS-based Proteomics techniques were used to profile the proteome of 81 plasma samples extracted in four consecutive days from 23 hospitalized COVID-19 associated pneumonia patients. Samples from 10 subjects that reached a critical condition during their hospital stay and 10 matched non-severe controls were drawn before the administration of any COVID-19 specific treatment and used to identify potential biomarkers of COVID-19 prognosis. Additionally, we compared the proteome of five patients before and after glucocorticoids and tocilizumab treatment, to assess the changes induced by the therapy on our selected candidates. Forty-two proteins were differentially expressed between patients' evolution groups at 10% FDR. Twelve proteins showed lower levels in critical patients (fold-changes 1.20-3.58), of which OAS3 and COG5 found their expression increased after COVID-19 specific therapy. Most of the 30 proteins over-expressed in critical patients (fold-changes 1.17-4.43) were linked to inflammation, coagulation, lipids metabolism, complement or immunoglobulins, and a third of them decreased their expression after treatment. We propose a set of candidate proteins for biomarkers of COVID-19 prognosis at the time of hospital admission. The study design employed is distinctive from previous works and aimed to optimize the chances of the candidates to be validated in confirmatory studies and, eventually, to play a useful role in the clinical practice.