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. Here we analyze urine samples from COVID-19 infection cases, healthy donors and non-COVID-19 pneumonia cases using quantitative proteomics. The molecular changes suggest that immunosuppression and tight junction impairment occur in the early stage of COVID-19 infection. Further subgrouping of COVID-19 patients into moderate and severe types shows that an activated immune response emerges in severely affected patients. We propose a two-stage mechanism of pathogenesis for this unusual viral infection. Our data advance our understanding of the clinical features of COVID-19 infections and provide a resource for future mechanistic and therapeutics studies.