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Objectives Host immune responses are indispensable to combat the disease. We report the dynamics of peripheral immune cells, cytokines, and human leucocyte antigen‐G (HLA‐G) and its receptor expressions in a patient suffering from critical COVID‐19 pneumonia to convalescence. Methods Clinical data of the patient were collected from medical records. The expressions of HLA‐G and receptors ILT2, ILT4 and KIR2DL4 in peripheral immune cells were measured with flow cytometry. Results From critical COVID‐19 to the convalescent stage, early lymphopenia was improved (median: 0.6 × 109 L−1 vs. 0.9 × 109 L−1, P = 0.009), and an obvious fluctuation in WBC and neutrophil counts was observed. Initially, low levels of CD4+ T cells (from 120 to 528 μL−1) and CD8+ T cells (from 68 to 362 μL−1) gradually increased to normal levels. Meanwhile, high IL‐6 (from 251.8 to 6.32 pg mL−1), IL‐10 (from 39.53 to 5.21 pg mL−1) and IFN‐γ (from 13.55 to 3.16 pg mL−1) levels decreased, and IL‐4 (from 2.36 to 3.19 pg mL−1) and TNF‐α (from 2.27 to 20.2 pg mL−1) levels increased quickly when the viral RNA returned negative. Moreover, the percentage of HLA‐G+ T cells, B cells and monocytes follows high–low–high pattern, while the percentage of receptors ILT2‐, ILT4‐ and KIR2DL4‐expressing cells remained relatively stable. Conclusion Our findings provide valuable information on the dynamics of early peripheral immunological responses in SARS‐CoV‐2 infection. CD4+ and CD8+ T cells, cytokines and HLA‐G+ immune cells are associated with the natural history of the critical COVID‐19 patient; however, future studies are necessary., Pneumonia COVID‐19 is threatening public health. Host immune responses are indispensable to combat the disease. In this paper, we report on the dynamics of early CD4+ and CD8+ T cells, cytokines and HLA‐G+ immune cells that are associated with the natural history of a critical COVID‐19 patient.