A recent comparison of clinical and inflammatory parameters, together with biomarkers of oxidative stress, in patients who died from aggressive COVID-19 and survivors suggested that the lipid peroxidation product 4-hydroxynonenal (4-HNE) might be detrimental in lethal SARS-CoV-2 infection. The current study further explores the involvement of inflammatory cells, systemic vascular stress, and 4-HNE in lethal COVID-19 using specific immunohistochemical analyses of the inflammatory cells within the vital organs obtained by autopsy of nine patients who died from aggressive SAR-CoV-2 infection. Besides 4-HNE, myeloperoxidase (MPO) and mitochondrial superoxide dismutase (SOD2) were analyzed alongside standard leukocyte biomarkers (CDs). All the immunohistochemical slides were simultaneously prepared for each analyzed biomarker. The results revealed abundant 4-HNE in the vital organs, but the primary origin of 4-HNE was sepsis-like vascular stress, not an oxidative burst of the inflammatory cells. In particular, inflammatory cells were often negative for 4-HNE, while blood vessels were always very strongly immunopositive, as was edematous tissue even in the absence of inflammatory cells. The most affected organs were the lungs with diffuse alveolar damage and the brain with edema and reactive astrocytes, whereas despite acute tubular necrosis, 4-HNE was not abundant in the kidneys, which had prominent SOD2. Although SOD2 in most cases gave strong immunohistochemical positivity similar to 4-HNE, unlike 4-HNE, it was always limited to the cells, as was MPO. Due to their differential expressions in blood vessels, inflammatory cells, and the kidneys, we think that SOD2 could, together with 4-HNE, be a potential link between a malfunctioning immune system, oxidative stress, and vascular stress in lethal COVID-19.