Objectives To analyse the spatial distribution of rates of COVID‐19 cases and its association with socio‐economic conditions in the state of Pernambuco, Brazil. Methods Autocorrelation (Moran index) and spatial association (Geographically weighted regression) models were used to explain the interrelationships between municipalities and the possible effects of socio‐economic factors on rates. Results Two isolated clusters were revealed in the inner part of the state in sparsely inhabited municipalities. The spatial model (Geographically Weighted Regression) was able to explain 50% of the variations in COVID‐19 cases. The variables proportion of people with low income, percentage of rented homes, percentage of families in social programs, Gini index and running water had the greatest explanatory power for the increase in infection by COVID‐19. Conclusions Our results provide important information on socio‐economic factors related to the spread of COVID‐19 and can serve as a basis for decision‐making in similar circumstances.