The outbreak of COVID-19 has become a worldwide pandemic. The pathogenesis of this infectious disease and how it differs from other drivers of pneumonia is unclear. Herein, we present an integrated analysis of urine and serum proteomics and clinical measurements in asymptomatic, mild/moderate, severe and convalescent cases of COVID-19. We identify the pattern of immune response during COVID-19 infection. The molecular changes suggest that the immune response is activated in asymptomatic infection, but is dysregulated in mild and severe COVID-19 patients. We propose a two-stage mechanism of pathogenesis for this unusual viral infection. The first stage of COVID-19 might involve suppression of the immune system and damage to tight junctions. The second stage might involve activated immune responses, contributing to cytokine storm and organ damage. Our study provides a comprehensive understanding of COVID-19 immunopathogenesis, which potentially supports clinical decision-making to improve the prognosis and treatment of patients.