Background Non-invasive oxygenation strategies have a prominent role in the treatment of acute hypoxemic respiratory failure during the coronavirus disease 2019 (COVID-19). While the efficacy of these therapies has been studied in hospitalized patients with COVID-19, the clinical outcomes associated with oxygen masks, high-flow oxygen therapy by nasal cannula and non-invasive mechanical ventilation in critically ill intensive care unit (ICU) patients remain unclear. Methods In this retrospective study, we used the best of nine covariate balancing algorithms on all baseline covariates in critically ill COVID-19 patients supported with > 10 L of supplemental oxygen at one of the 26 participating ICUs in Catalonia, Spain, between March 14 and April 15, 2020. Results Of the 1093 non-invasively oxygenated patients at ICU admission treated with one of the three stand-alone non-invasive oxygenation strategies, 897 (82%) required endotracheal intubation and 310 (28%) died during the ICU stay. High-flow oxygen therapy by nasal cannula (n = 439) and non-invasive mechanical ventilation (n = 101) were associated with a lower rate of endotracheal intubation (70% and 88%, respectively) than oxygen masks (n = 553 and 91% intubated), p < 0.001. Compared to oxygen masks, high-flow oxygen therapy by nasal cannula was associated with lower ICU mortality (hazard ratio 0.75 [95% CI 0.58–0.98), and the hazard ratio for ICU mortality was 1.21 [95% CI 0.80–1.83] for non-invasive mechanical ventilation. Conclusion In critically ill COVID-19 ICU patients and, in the absence of conclusive data, high-flow oxygen therapy by nasal cannula may be the approach of choice as the primary non-invasive oxygenation support strategy.