Severe acute respiratory syndrome coronavirus type 2 (SARS-CoV-2) causes coronavirus disease 2019 (COVID-19), characterised by high levels of inflammation and oxidative stress (OS). Oxidative stress induces oxidative damage to lipids, proteins, and DNA, causing tissue damage. Both inflammation and OS contribute to multi-organ failure in severe cases. Magnesium (Mg²⁺) regulates many processes, including antioxidant and anti-inflammatory responses, as well as the proper functioning of other micronutrients such as vitamin D. In addition, Mg²⁺ participates as a second signalling messenger in the activation of T cells. Therefore, Mg²⁺ deficiency can cause immunodeficiency, exaggerated acute inflammatory response, decreased antioxidant response, and OS. Supplementation with Mg²⁺ has an anti-inflammatory response by reducing the levels of nuclear factor kappa B (NF-κB), interleukin (IL) -6, and tumor necrosis factor alpha. Furthermore, Mg²⁺ supplementation improves mitochondrial function and increases the antioxidant glutathione (GSH) content, reducing OS. Therefore, Mg²⁺ supplementation is a potential way to reduce inflammation and OS, strengthening the immune system to manage COVID-19. This narrative review will address Mg²⁺ deficiency associated with a worse disease prognosis, Mg²⁺ supplementation as a potent antioxidant and anti-inflammatory therapy during and after COVID-19 disease, and suggest that randomised controlled trials are indicated.