Despite two years of intense global research activity, host genetic factors that predispose to a poorer prognosis of COVID-19 infection remain poorly understood. Here, we prioritise eight robust (e.g., ELF5) or suggestive but unreported (e.g., RAB2A) candidate protein mediators of COVID-19 outcomes by integrating results from the COVID-19 Host Genetics Initiative with population-based plasma proteomics using statistical colocalisation. The transcription factor ELF5 (ELF5) shows robust and directionally consistent associations across different outcome definitions, including a >4-fold higher risk (odds ratio: 4.88; 95%-CI: 2.47-9.63; p-value < 5.0 × 10-6) for severe COVID-19 per 1 s.d. higher genetically predicted plasma ELF5. We show that ELF5 is specifically expressed in epithelial cells of the respiratory system, such as secretory and alveolar type 2 cells, using single-cell RNA sequencing and immunohistochemistry. These cells are also likely targets of SARS-CoV-2 by colocalisation with key host factors, including ACE2 and TMPRSS2. In summary, large-scale human genetic studies together with gene expression at single-cell resolution highlight ELF5 as a risk gene for severe COVID-19, supporting a role of epithelial cells of the respiratory system in the adverse host response to SARS-CoV-2.