COVID-19, the infectious disease caused by severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2), is frequently associated with pulmonary thrombotic events, especially in hospitalised patients. Severe SARS-CoV-2 infection is characterized by a proinflammatory state and an associated disbalance in hemostasis. Immune pathology analysis supports the inflammatory nature of pulmonary arterial thrombi composed by white blood cells, especially neutrophils, CD3+ and CD20+ lymphocytes, fibrin, red blood cells and platelets. Immune cells, cytokines, chemokines and the complement system are key drivers of immunothrombosis, as they induce the damage of endothelial cells and initiate pro-inflammatory and pro-coagulant positive feedback loops. Neutrophil extracellular traps induced by COVID-19-associated “cytokine storm”, platelets, red blood cells, and coagulation pathways close the inflammation-endotheliopathy-thrombosis axis, contributing to SARS-CoV-2 associated pulmonary thrombotic events. The hypothesis of immunothrombosis is also supported by the minor role of venous thromboembolism, chest CT imaging data showing peripheral blood clots associated with inflammatory lesions and the high incidence of thrombotic events despite routine thromboprophylaxis. Understanding the complex mechanisms behind COVID-19-induced pulmonary thrombosis will lead to future combination therapies for hospitalised patients with severe disease, that would target the crossroads of inflammatory and coagulation pathways.