SARS-CoV-2 is responsible for the coronavirus disease 2019 (COVID-19) and the current health crisis. Despite intensive research efforts, the genes and pathways that contribute to COVID-19 remain poorly understood. We, therefore, used an integrative genomics (IG) approach to identify candidate genes responsible for COVID-19 and its severity. We used Bayesian colocalization (COLOC) and summary-based Mendelian randomization to combine gene expression quantitative trait loci (eQTLs) from the Lung eQTL (n = 1,038) and eQTLGen (n = 31,784) studies with published COVID-19 genome-wide association study (GWAS) data from the COVID-19 Host Genetics Initiative. Additionally, we used COLOC to integrate plasma protein quantitative trait loci (pQTL) from the INTERVAL study (n = 3,301) with COVID-19 loci. Finally, we determined any causal associations between plasma proteins and COVID-19 using multi-variable two-sample Mendelian randomization (MR). The expression of 18 genes in lung and/or blood co-localized with COVID-19 loci. Of these, 12 genes were in suggestive loci (PGWAS < 5 × 10-05). LZTFL1, SLC6A20, ABO, IL10RB and IFNAR2 and OAS1 had been previously associated with a heightened risk of COVID-19 (PGWAS < 5 × 10-08). We identified a causal association between OAS1 and COVID-19 GWAS. Plasma ABO protein, which is associated with blood type in humans, demonstrated a significant causal relationship with COVID-19 in the MR analysis; increased plasma levels were associated with an increased risk of COVID-19 and, in particular, severe COVID-19. In summary, our study identified genes associated with COVID-19 that may be prioritized for future investigations. Importantly, this is the first study to demonstrate a causal association between plasma ABO protein and COVID-19.