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.