The relationship between exposure to air pollution and the severity of coronavirus disease 2019 (COVID-19) pneumonia and other outcomes is poorly understood. Beyond age and comorbidity, risk factors for adverse outcomes including death have been poorly studied. The main objective of our study was to examine the relationship between exposure to outdoor air pollution and the risk of death in patients with COVID-19 pneumonia using individual-level data. The secondary objective was to investigate the impact of air pollutants on gas exchange and systemic inflammation in this disease. This cohort study included 1548 patients hospitalised for COVID-19 pneumonia between February and May 2020 in one of four hospitals. Local agencies supplied daily data on environmental air pollutants (PM10, PM2.5, O3, NO2, NO and NOX) and meteorological conditions (temperature and humidity) in the year before hospital admission (from January 2019 to December 2019). Daily exposure to pollution and meteorological conditions by individual postcode of residence was estimated using geospatial Bayesian generalised additive models. The influence of air pollution on pneumonia severity was studied using generalised additive models which included: age, sex, Charlson comorbidity index, hospital, average income, air temperature and humidity, and exposure to each pollutant. Additionally, generalised additive models were generated for exploring the effect of air pollution on C-reactive protein (CRP) level and SpO2/FiO2 at admission. According to our results, both risk of COVID-19 death and CRP level increased significantly with median exposure to PM10, NO2, NO and NOX, while higher exposure to NO2, NO and NOX was associated with lower SpO2/FiO2 ratios. In conclusion, after controlling for socioeconomic, demographic and health-related variables, we found evidence of a significant positive relationship between air pollution and mortality in patients hospitalised for COVID-19 pneumonia. Additionally, inflammation (CRP) and gas exchange (SpO2/FiO2) in these patients were significantly related to exposure to air pollution.