The outbreak of Coronavirus Disease 2019 (COVID-19) has prompted the scientific community to explore potential treatments or vaccines against severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), the virus that causes the illness. While SARS-CoV-2 is mostly considered a respiratory pathogen, several neurological complications have been reported, raising questions about how it may enter the Central Nervous System (CNS). Receptors such as ACE2, CD147, TMPRSS2, and NRP1 have been identified in brain cells and may be involved in facilitating SARS-CoV-2 entry into the CNS. Moreover, proteins like P2X7 and Panx-1 may contribute to the pathogenesis of COVID-19. Additionally, the role of the immune system in the gravity of COVID-19 has been investigated with respect to both innate and adaptive immune responses caused by SARS-CoV-2 infection, which can lead to a cytokine storm, tissue damage, and neurological manifestations. A redox imbalance has also been linked to the pathogenesis of COVID-19, potentially causing mitochondrial dysfunction, and generating proinflammatory cytokines. This review summarizes different mechanisms of reactive oxygen species and neuro-inflammation that may contribute to the development of severe COVID-19, and recent progress in the study of immunological events and redox imbalance in neurological complications of COVID-19, and the role of bioinformatics in the study of neurological implications of COVID-19.