Immunocompromised (IC) patients continue to be at risk of severe COVID-19 despite vaccination and anti-SARS-CoV-2 therapies. The comparative effectiveness of antiviral agents (AVAs) and monoclonal antibodies (MoAbs) as early treatment of SARS-CoV-2 in IC patients is described in this work. This retrospective multicenter cohort study included IC outpatients diagnosed with SARS-CoV-2 between March 2021 and March 2022 at the National Institute for Infectious Diseases “Lazzaro Spallanzani” and Santa Maria Goretti University Hospital, Italy. Patients received either AVAs or MoAbs based on national guidelines. The primary outcome was time to negative nasopharyngeal swab (NPS). The secondary outcomes were COVID-19-related hospitalization or death by day 30. Among 1472 IC patients (with a median age of 58 years, 45% male), 688 (46%) were treated with MoAbs, and 783 (54%) were treated with AVAs. The patients treated with MoAbs had a higher duration to negative NPS (17 vs. 11 days, p < 0.05) and a higher risk of sustained SARS-CoV-2 positivity on day 7 (OR: 3.0, 95% CI: 1.72–5.23, p < 0.01) and day 30 (OR: 6.0, 95% CI: 3.7–10.5, p < 0.01) than those treated with AVAs. There were no differences in hospitalization or mortality. AVAs were associated with a more rapid viral clearance than MoAbs, suggesting a potential advantage for reducing infectious duration in IC patients. Additional studies are necessary to further optimize the early treatment of COVID-19 in this high-risk population.