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During the course of an epidemic, one of the most challenging tasks for authorities is to decide what kind of restrictive measures to introduce and when these should be enforced. In order to take informed decisions in a fully rational manner, the onset of a critical regime, characterized by an exponential growth of the contagion, must be identified as quickly as possible. Providing rigorous quantitative tools to detect such an onset represents an important contribution from the scientific community to proactively support the political decision makers. In this paper, leveraging the quickest detection theory, we propose a mathematical model of the COVID-19 pandemic evolution and develop decision tools to rapidly detect the passage from a controlled regime to a critical one. A new sequential test—referred to as MAST (mean-agnostic sequential test)—is presented, and demonstrated on publicly available COVID-19 infection data from different countries. Then, the performance of MAST is investigated for the second pandemic wave, showing an effective trade-off between average decision delay $$\Delta$$ Δ and risk $$R$$ R , where $$R$$ R is inversely proportional to the time required to declare the need to take unnecessary restrictive measures. To quantify risk, in this paper we adopt as its proxy the average occurrence rate of false alarms, in that a false alarm risks unnecessary social and economic disruption. Ideally, the decision mechanism should react as quick as possible for a given level of risk. We find that all the countries share the same behaviour in terms of quickest detection, specifically the risk scales exponentially with the delay, $$R \sim \exp {(-\omega \Delta )}$$ R ∼ exp ( - ω Δ ) , where $$\omega$$ ω depends on the specific nation. For a reasonably small risk level, say, one possibility in ten thousand (i.e., unmotivated implementation of countermeasures every 27 years, on the average), the proposed algorithm detects the onset of the critical regime with delay between a few days to 3 weeks, much earlier than when the exponential growth becomes evident. Strictly from the quickest-detection perspective adopted in this paper, it turns out that countermeasures against the second epidemic wave have not always been taken in a timely manner. The developed tool can be used to support decisions at different geographic scales (regions, cities, local areas, etc.), levels of risk, instantiations of controlled/critical regime, and is general enough to be applied to different pandemic time-series. Additional analysis and applications of MAST are made available on a dedicated website.