Empirical evidence, primarily based on hospital-based or voluntary samples, suggests that current smokers have a lower risk of COVID-19 infection than never smokers. In this study, we used nationally representative data to examine the association between tobacco use and the risk of having a confirmed COVID-19 case. We explored several forms of tobacco use, contributing to separate the role of nicotine from smoking. We used data from 44,199 participants from three pooled national health surveys in Finland (FinSote 2018–2020). The primary outcome was a confirmed COVID-19 case. We examined current smoking, moist smokeless tobacco (snus), e-cigarettes with and without nicotine and nicotine replacement therapy products. Current daily smokers had a relative risk of 1.12 of a confirmed COVID-19 case (95% CI 0.65; 1.94) in fully adjusted models compared with never smokers. Current snus use was associated with a 68% higher risk of a confirmed COVID-19 case (RR 1.68, 95% CI 1.02; 2.75) than never users. We did not find conclusive evidence of associations between e-cigarettes with and without nicotine and nicotine replacement therapy products and the risk of confirmed COVID-19 cases. Our findings suggest that nicotine might not have a protective role in the risk of COVID-19 as previously hypothesized.