The interplay between inflammation and oxidative stress is a vicious circle, potentially resulting in organ damage. Essential micronutrients such as selenium (Se) and zinc (Zn) support anti-oxidative defense systems and are commonly depleted in severe disease. This single-center retrospective study investigated micronutrient levels under Se and Zn supplementation in critically ill patients with COVID-19 induced acute respiratory distress syndrome (ARDS) and explored potential relationships with immunological and clinical parameters. According to intensive care unit (ICU) standard operating procedures, patients received 1.0 mg of intravenous Se daily on top of artificial nutrition, which contained various amounts of Se and Zn. Micronutrients, inflammatory cytokines, lymphocyte subsets and clinical data were extracted from the patient data management system on admission and after 10 to 14 days of treatment. Forty-six patients were screened for eligibility and 22 patients were included in the study. Twenty-one patients (95%) suffered from severe ARDS and 14 patients (64%) survived to ICU discharge. On admission, the majority of patients had low Se status biomarkers and Zn levels, along with elevated inflammatory parameters. Se supplementation significantly elevated Se (p = 0.027) and selenoprotein P levels (SELENOP; p = 0.016) to normal range. Accordingly, glutathione peroxidase 3 (GPx3) activity increased over time (p = 0.021). Se biomarkers, most notably SELENOP, were inversely correlated with CRP (rs = -0.495), PCT (rs = -0.413), IL-6 (rs = -0.429), IL-1beta (rs = -0.440) and IL-10 (rs = -0.461). Positive associations were found for CD8(+) T cells (rs = 0.636), NK cells (rs = 0.772), total IgG (rs = 0.493) and PaO2/FiO2 ratios (rs = 0.504). In addition, survivors tended to have higher Se levels after 10 to 14 days compared to non-survivors (p = 0.075). Sufficient Se and Zn levels may potentially be of clinical significance for an adequate immune response in critically ill patients with severe COVID-19 ARDS.