Coronavirus disease 2019 (COVID-19), caused by the SARS-CoV-2 virus, is accompanied by a dysregulated immune response. In particular, NK cells, involved in the antiviral response, are affected by the infection. This study aimed to investigate circulating NK cells with a focus on their activation, depletion, changes in the surface expression of key receptors, and functional activity during COVID-19, among intensive care unit (ICU) patients, moderately ill patients, and convalescents (CCP). Our data confirmed that NK cell activation in patients with COVID-19 is accompanied by changes in circulating cytokines. The progression of COVID-19 was associated with a coordinated decrease in the proportion of NKG2D+ and CD16+ NK cells, and an increase in PD-1, which indicated their exhaustion. A higher content of NKG2D+ NK cells distinguished surviving patients from non-survivors in the ICU group. NK cell exhaustion in ICU patients was additionally confirmed by a strong negative correlation of PD-1 and natural cytotoxicity levels. In moderately ill patients and convalescents, correlations were found between the levels of CD57, NKG2C, and NKp30, which may indicate the formation of adaptive NK cells. A reduced NKp30 level was observed in patients with a lethal outcome. Altogether, the phenotypic changes in circulating NK cells of COVID-19 patients suggest that the intense activation of NK cells during SARS-CoV-2 infection, most likely induced by cytokines, is accompanied by NK cell exhaustion, the extent of which may be critical for the disease outcome.