Observational studies have shown close associations between COVID-19 risk and cytokines, especially interleukins (ILs) and interferons (IFNs). However, the causal relationships between ILs, IFNs and COVID-19 were still unclear. To resolve the problem, we conducted a Mendelian randomization analysis between COVID-19 and 47 cytokines, including 35 ILs and 12 IFNs. First, three methods were applied to estimate causal effects by using single nucleotide polymorphisms as instrumental variables (IVs). Subsequently, the MR-Egger method was used to estimate the horizontal pleiotropy of IVs. Finally, sensitivity analyses were applied to assess the robustness of results. As a result, one IFN (IFN-W1) and five ILs (IL-5, IL-6, IL-13, IL-16 and IL-37) were identified to significantly decrease the COVID-19 risk. In contrast, one IFN (IFNG) and five ILs (IL-3, IL-8, IL-27, IL-31 and IL-36β) were found to be significantly associated with an increased risk of COVID-19. In summary, the findings of this study provide insights into potential therapeutic interventions for COVID-19.