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Abstract Background To compare differences in the probability of COVID-19-related death between native Italians and immigrants hospitalised with COVID-19. Methods This retrospective study of prospectively collected data was conducted at the ASST Fatebenefratelli-Sacco Hospital in Milan, Italy, between 21 February and 31 November 2020. Uni- and multivariable Cox proportional hazard models were used to assess the impact of the patients' origin on the probability of COVID-19-related death. Results The study population consisted of 1,179 COVID-19 patients: 921 Italians (78.1%) and 258 immigrants (21.9%) who came from Latin America (99, 38%), Asia (72, 28%), Africa (50, 19%) and central/eastern Europe (37, 14%). The Italians were significantly older than the immigrants (median age 70 years, interquartile range (IQR) 58–79 vs 51 years, IQR 41–60; p < 0.001), and more frequently had one or more co-morbidities (79.1% vs 53.9%; p < 0.001). Mortality was significantly greater among the Italians than the immigrants as a whole (26.6% vs 12.8%; p < 0.001), and significantly greater among the immigrants from Latin America than among those from Asia, Africa or central/eastern Europe (21% vs 8%, 6% and 8%; p = 0.016). Univariable analysis showed that the risk of COVID-19-related death was lower among the immigrants (hazard ratio [HR] 0.43, 95% confidence interval [CI] 0.30–0.63; p < 0.0001], but the risk of Latin American immigrants did not significantly differ from that of the Italians (HR 0.74, 95% CI 0.47–1.15; p = 0.183). However, after adjusting for potential confounders, multivariable analysis showed that there was no difference in the risk of death between the immigrants and the Italians (adjusted HR [aHR] 1.04, 95% CI 0.70–1.55; p = 0.831), but being of Latin American origin was independently associated with an increased risk of death (aHR 1.95, 95% CI 1.17–3.23; p = 0.010). Conclusions Mortality was lower among the immigrants hospitalised with COVID-19 than among their Italian counterparts, but this difference disappeared after adjusting for confounders. However, the increased risk of death among immigrants of Latin American origin suggests that COVID-19 information and prevention initiatives need to be strengthened in this sub-population.