Background: The aim of our study was to analyze the effect of socioeconomic inequalities, both at the individual and area of residence levels, on the probability of COVID-19 confirmed infection, and its variations across three pandemic waves. Methods: Retrospective cohort study. We included data from all individuals tested by COVID-19 during the three waves of the pandemic, from March to December 2020 (357,989 individuals). We studied the effect of inequalities on the risk of having a COVID-19 confirmed diagnosis after being tested using multilevel analyses with two levels of aggregation: individuals and basic healthcare area (BHA) of residence (deprivation level and type of zone). Results: Patient profile changed through the pandemic, with a predominance of low-paid employees living in deprived BHA. Workers with low salaries, unemployed and people on minimum integration income or who no longer receive the unemployment allowance, had a higher probability of COVID-19 infection than workers with salaries ≥€18,000 per year. Inequalities were higher in women and in the second wave. The deprivation level of BHA of residence influenced the risk of COVID-19 infection, especially in the second wave. Conclusions: There are inequalities in the risk of COVID-19 confirmed infection, both at individual and area level. It is necessary to develop individual and area coordinated measures in the control, diagnosis and treatment of the epidemic, in order to avoid an increase in the already existing inequalities.