Background: The novel coronavirus (SARS-CoV-2) is a global pandemic. The lack of protective vaccine or treatment led most of the countries to follow the flattening of the infection curve with social isolation measures. There is evidence that socioeconomic inequalities have been shaping the COVID-19 burden among low and middle-income countries. This study described what sociodemographic and socioeconomic factors were associated with the greatest risk of COVID-19 infection and mortality and how did the importance of key neighbourhood-level socioeconomic factors change over time during the early stages of the pandemic in the Rio de Janeiro municipality, Brazil. Methods: We linked socioeconomic attributes to confirmed cases and deaths from COVID-19 and computed age-standardised incidence and mortality rates by domains such as age, gender, crowding, education, income and race/ethnicity. Results: The evidence suggests that although age-standardised incidence rates were higher in wealthy neighbourhoods, age-standardised mortality rates were higher in deprived areas during the first 2 months of the pandemic. The age-standardised mortality rates were also higher in males, and in areas with a predominance of people of colour, which are disproportionately represented in more vulnerable groups. The population also presented COVID-19 'rejuvenation', that is, people became risk group younger than in developed countries. Conclusion: We conclude that there is a strong health gradient for COVID-19 death risk during the early stages of the pandemic. COVID-19 cases continued to move towards the urban periphery and to more vulnerable communities, threatening the health system functioning and increasing the health gradient.