A series of epidemiological explorations has suggested a negative association between national bacillus Calmette–Guérin (BCG) vaccination policy and the prevalence and mortality of coronavirus disease 2019 (COVID-19). However, these comparisons are difficult to validate due to broad differences between countries such as socioeconomic status, demographic structure, rural vs. urban settings, time of arrival of the pandemic, number of diagnostic tests and criteria for testing, and national control strategies to limit the spread of COVID-19. We review evidence for a potential biological basis of BCG cross-protection from severe COVID-19, and refine the epidemiological analysis to mitigate effects of potentially confounding factors (e.g., stage of the COVID-19 epidemic, development, rurality, population density, and age structure). A strong correlation between the BCG index, an estimation of the degree of universal BCG vaccination deployment in a country, and COVID-19 mortality in different socially similar European countries was observed (r² = 0.88; P = 8 × 10⁻⁷), indicating that every 10% increase in the BCG index was associated with a 10.4% reduction in COVID-19 mortality. Results fail to confirm the null hypothesis of no association between BCG vaccination and COVID-19 mortality, and suggest that BCG could have a protective effect. Nevertheless, the analyses are restricted to coarse-scale signals and should be considered with caution. BCG vaccination clinical trials are required to corroborate the patterns detected here, and to establish causality between BCG vaccination and protection from severe COVID-19. Public health implications of a plausible BCG cross-protection from severe COVID-19 are discussed.