Background and objectives Cytokine release syndrome in COVID‐19 is due to a pathological inflammatory response of raised cytokines. Removal of these cytokines by therapeutic plasma exchange (TPE) prior to end‐organ damage may improve clinical outcomes. This manuscript is intended to serve as a preliminary guidance document for application of TPE in patients with severe COVID‐19. Material and methods The available literature pertaining to the role of TPE for treatment of COVID‐19 patients was reviewed to guide optimal management. It included indication, contraindication, optimal timing of initiation and termination of TPE, vascular access and anticoagulants, numbers and mode of procedures, outcome measures and adverse events. Results Out of a total of 78 articles, only 65 were directly related to the topic. From these 65, only 32 were acceptable as primary source, while 33 were used as supporting references. TPE in critically ill COVID‐19 patients may be classified under ASFA category III grade 2B. The early initiation of TPE for 1–1·5 patient’s plasma volume with fresh frozen plasma, or 4–5% albumin or COVID‐19 convalescent plasma as replacement fluids before multiorgan failure, has better chances of recovery. The number of procedures can vary from three to nine depending on patient response. Conclusion TPE in COVID‐19 patients may help by removing toxic cytokines, viral particles and/or by correcting coagulopathy or restoring endothelial membrane. Severity score (SOFA & APACHE II) and cytokine levels (IL‐6, C‐reactive protein) can be used to execute TPE therapy and to monitor response in COVID‐19 patients.