The COVID-19 pandemic caused important health and societal damage across the world in 2020–2022. Its study represents a tremendous challenge for the scientific community. The correct evaluation and analysis of the situation can lead to the elaboration of the most efficient strategies and policies to control and mitigate its propagation. The paper proposes a Multi-Criteria Decision Support (MCDS) based on the combination of three methods: the Group Analytic Hierarchy Process (GAHP), which is a subjective group weighting method; Extended Entropy Weighting Method (EEWM), which is an objective weighting method; and the COmplex PRoportional ASsessment (COPRAS), which is a multi-criteria method. The COPRAS uses the combined weights calculated by the GAHP and EEWM. The sum normalization (SN) is considered for COPRAS and EEWM. An extended entropy is proposed in EEWM. The MCDS is implemented for the development of a complex COVID-19 indicator called COVIND, which includes several countries’ COVID-19 indicators, over a fourth COVID-19 wave, for a group of European countries. Based on these indicators, a ranking of the countries is obtained. An analysis of the obtained rankings is realized by the variation of two parameters: a parameter that describes the combination of weights obtained with EEWM and GAHP and the parameter of extended entropy function. A correlation analysis between the new indicator and the general country indicators is performed. The MCDS provides policy makers with a decision support able to synthesize the available information on the fourth wave of the COVID-19 pandemic.