SARS-CoV-2 is the etiological agent of COVID-19, an extremely heterogenous disease that can cause severe respiratory failure and critical illness. To date, reliable biomarkers allowing for early patient stratification according to disease severity are still lacking. Calcitonin gene-related peptide (CGRP) is a vasoactive neuropeptide involved in lung pathophysiology and immune modulation and is poorly investigated in the COVID-19 context. In this observational, prospective cohort study, we investigated the correlation between CGRP and clinical disease evolution in hospitalized moderate to severe COVID-19 patients. Between January and May 2021 (Italian third pandemic wave), 135 consecutive SARS-CoV-2 patients were diagnosed as being eligible for the study. Plasma CGRP level evaluation and routine laboratory tests were performed on blood samples collected at baseline and after 7 days of hospitalization. At baseline, the majority our patients had a moderate to severe clinical presentation, and higher plasma CGRP levels predicted a higher risk of in-hospital negative evolution (odds-ratio OR 2.84 [IQR 1.07–7.51]) and were correlated with pulmonary intravascular coagulopathy (OR 2.92 [IQR 1.19–7.17]). Finally, plasma CGRP levels were also correlated with plasma IP10 levels. Our data support a possible crosstalk between the lung and the neuroimmune axis, highlighting a crucial role for plasma CGRP in sustaining COVID-19-related hyperinflammation.