The world is facing the coronavirus pandemic (COVID-19), which began in China. By August 18, 2020, the United States, Brazil, and India were the most affected countries. Health infrastructure and socioeconomic vulnerabilities may be affecting the response capacities of these countries. We compared official indicators to identify which vulnerabilities better determined the exposure risk to COVID-19 in both the most and least affected countries. To achieve this purpose, we collected indicators from the Infectious Disease Vulnerability Index (IDVI), the World Health Organization (WHO), the World Bank, and the Brazilian Geography and Statistics Institute (IBGE). All indicators were normalized to facilitate comparisons. Speed, incidence, and population were used to identify the groups of countries with the highest and lowest risks of infection. Countries' response capacities were determined based on socioeconomic, political, and health infrastructure conditions. Vulnerabilities were identified based on the indicator sensitivity. The highest-risk group included the U.S., Brazil, and India, whereas the lowest-risk group (with the largest population by continent) consisted of China, New Zealand, and Germany. The high-sensitivity cluster had 18 indicators (50% extra IDVI), such as merchandise trade, immunization, public services, maternal mortality, life expectancy at birth, hospital beds, GINI index, adolescent fertility, governance, political stability, transparency/corruption, industry, and water supply. The greatest vulnerability of the highest-risk group was related first to economic factors (merchandise trade), followed by public health (immunization), highlighting global dependence on Chinese trade, such as protective materials, equipment, and diagnostic tests. However, domestic political factors had more indicators, beginning with high sensitivity and followed by healthcare and economic conditions, which signified a lesser capacity to guide, coordinate, and supply the population with protective measures, such as social distancing.