Tubular injury is the main cause of acute kidney injury (AKI) in critically ill COVID-19 patients. Proximal tubular dysfunction (PTD) and changes in urinary biomarkers, such as NGAL, TIMP-2, and IGFBP7 product ([TIMP-2]•[IGFBP7]), could precede AKI. We conducted a prospective cohort study from 2020/03/09 to 2020/05/03, which consecutively included all COVID-19 patients who had at least one urinalysis, to assess the incidence of PTD and AKI, and the effectiveness of PTD, NGAL, and [TIMP-2]•[IGFBP7] in AKI and persistent AKI prediction using the area under the receiver operating characteristic curves (AUCs), Kaplan–Meier methodology (log-rank tests), and Cox models. Among the 60 patients admitted to the ICU with proven COVID-19 (median age: 63-year-old (interquartile range: IQR, 55–74), 45 males (75%), median simplified acute physiology score (SAPS) II: 34 (IQR, 22–47) and median BMI: 25.7 kg/m2 (IQR, 23.3–30.8)) analyzed, PTD was diagnosed in 29 patients (48%), AKI in 33 (55%) and persistent AKI in 20 (33%). Urinary NGAL had the highest AUC for AKI prediction: 0.635 (95%CI: 0.491–0.779) and persistent AKI prediction: 0.681 (95%CI: 0.535–0.826), as compared to PTD and [TIMP-2]•[IGFBP7] (AUCs <0.6). AKI was independently associated with higher SAPSII (HR = 1.04, 95%CI: 1.01–1.06, p = 0.005) and BMI (HR = 1.07, 95%CI: 1.00–1.14, p = 0.04) and persistent AKI with higher SAPSII (HR = 1.03, 95%CI: 1.00–1.06, p = 0.048) and nephrotoxic drug use (HR = 3.88, 95%CI: 1.20–12.5, p = 0.02). In conclusion, in critically ill COVID-19 patients, the incidence of PTD and AKI was relatively high. NGAL was the best urinary biomarker for predicting AKI, but only clinical severity was independently associated with its occurrence.