Here we describe the results of a genome-wide study conducted in 11 939 COVID-19 positive cases with an extensive clinical information that were recruited from 34 hospitals across Spain (SCOURGE consortium). In sex-disaggregated genome-wide association studies for COVID-19 hospitalization, genome-wide significance (p < 5x10-8) was crossed for variants in 3p21.31 and 21q22.11 loci only among males (p = 1.3x10-22 and p = 8.1x10-12, respectively), and for variants in 9q21.32 near TLE1 only among females (p = 4.4x10-8). In a second phase, results were combined with an independent Spanish cohort (1598 COVID-19 cases and 1068 population controls), revealing in the overall analysis two novel risk loci in 9p13.3 and 19q13.12, with fine-mapping prioritized variants functionally associated with AQP3 (p = 2.7x10-8) and ARHGAP33 (p = 1.3x10-8), respectively. The meta-analysis of both phases with four European studies stratified by sex from the Host Genetics Initiative confirmed the association of the 3p21.31 and 21q22.11 loci predominantly in males and replicated a recently reported variant in 11p13 (ELF5, p = 4.1x10-8). Six of the COVID-19 HGI discovered loci were replicated and an HGI-based genetic risk score predicted the severity strata in SCOURGE. We also found more SNP-heritability and larger heritability differences by age (<60 or ≥ 60 years) among males than among females. Parallel genome-wide screening of inbreeding depression in SCOURGE also showed an effect of homozygosity in COVID-19 hospitalization and severity and this effect was stronger among older males. In summary, new candidate genes for COVID-19 severity and evidence supporting genetic disparities among sexes are provided.