Background and Objectives: The aim of this study was to assess the association between prehospital peripheral oxygen saturation (SpO2) and intensive care unit (ICU) admission in confirmed or suspected coronavirus disease 19 (COVID-19) patients. Materials and Methods: We carried out a retrospective cohort study on patients requiring prehospital intervention between 11 March 2020 and 4 May 2020. All adult patients in whom a diagnosis of COVID-19 pneumonia was suspected by the prehospital physician were included. Patients who presented a prehospital confounding respiratory diagnosis and those who were not eligible for ICU admission were excluded. The main exposure was “Low SpO2” defined as a value < 90%. The primary outcome was 48-h ICU admission. Secondary outcomes were 48-h mortality and 30-day mortality. We analyzed the association between low SpO2 and ICU admission or mortality with univariable and multivariable regression models. Results: A total of 145 patients were included. A total of 41 (28.3%) patients had a low prehospital SpO2 and 21 (14.5%) patients were admitted to the ICU during the first 48 h. Low SpO2 was associated with an increase in ICU admission (OR = 3.4, 95% CI = 1.2–10.0), which remained significant after adjusting for sex and age (aOR = 5.2, 95% CI = 1.8–15.4). Mortality was higher in low SpO2 patients at 48 h (OR = 7.1 95% CI 1.3–38.3) and at 30 days (OR = 3.9, 95% CI 1.4–10.7). Conclusions: In our physician-staffed prehospital system, first low prehospital SpO2 values were associated with a higher risk of ICU admission during the COVID-19 pandemic.