The cytokine storm is an abnormal production of inflammatory cytokines, due to the over-activation of the innate immune response. This mechanism has been recognized as a critical mediator of influenza-induced lung disease, and it could be pivotal for COVID-19 infections. Thus, an immunomodulatory approach targeting the over-production of cytokines could be proposed for viral aggressive pulmonary disease treatment. In this regard, the peroxisome proliferator-activated receptor (PPAR)-gamma, a member of the PPAR transcription factor family, could represent a potential target. Beside the well-known regulatory role on lipid and glucose metabolism, PPAR-gamma also represses the inflammatory process. Similarly, the PPAR-gamma agonist thiazolidinediones (TZDs), like pioglitazone, are anti-inflammatory drugs with ameliorating effects on severe viral pneumonia. In addition to the pharmacological agonists, also nutritional ligands of PPAR-gamma, like curcuma, lemongrass, and pomegranate, possess anti-inflammatory properties through PPAR-gamma activation. Here, we review the main synthetic and nutritional PPAR-gamma ligands, proposing a dual approach based on the strengthening of the immune system using pharmacological and dietary strategies as an attempt to prevent/treat cytokine storm in the case of coronavirus infection.