Background: Coronavirus disease-2019 (COVID-19) is prone to acute hypoxemic respiratory failure (AHRF). Because tracheal intubation is associated with a higher risk of death in these patients, AHRF employs high-flow nasal oxygen therapy (HFNOT). The goal of this study was to assess the effect of HFNOT on oxygenation status as well as different predictors of HFNOT failure. Methods: A prospective observational cohort study was conducted in COVID-positive critically ill adult patients (age >18 years) with AHRF, who were unable to maintain SpO2 >90% on a non-rebreathing face mask at an oxygen flow ≥15 L/minute. Respiratory variables (PaO2/FiO2, SpO2, and RR) before HFNOT (baseline) and then at 1 hour, 6 hours, 7th day, and 14th day after HFNOT application were recorded. Borg CR10 scale and visual analogue scale were used to evaluate the subjective sensation of dyspnea and comfort level, respectively. As needed, Student's t, Mann–Whitney U, or Wilcoxon signed-rank tests were performed. To find parameters linked to HFNOT failure, multivariate logistic regression and receiver-operating characteristic (ROC) analysis were employed. Results: A total of 114 patients were enrolled in the study, with an HFNOT failure rate of 29%. The median PaO2/FiO2 ratio at baseline (before the initiation of HFNOT) was 99.5 (80–110) which significantly increased at various time points (1 hour, 6 hours, 7th day, and 14th day) after HFNOT initiation in the successful group. Patients reported significant improvement in sensation of breathlessness [9 (8–10), 3 (2–4); p <0.001] as well as in comfort level [2 (1–2), 8 (4–9); p <0.001]. Multivariate logistic regression analysis, sequential organ failure assessment (SOFA) score >7, acute physiology and chronic health evaluation (APACHE) II score >20, admission P/F ratio <100, D-dimer >2 mg/L, IL-6 >40 pg/mL, random blood sugar (RBS) >250 mg/dL, and 6 hours ROX Index <3.5 were independent prognostic factors of HFNOT failure. Conclusion: The use of HFNOT significantly increased the oxygenation levels in COVID-19 patients with AHRF at various time periods after HFNOT beginning. Age, SOFA score, APACHE II score, ROX score, admission P/F ratio, IL-6, D-dimer, and RBS were independent prognostic factors of HFNOT failure in this cohort.