To contain and mitigate the coronavirus (COVID-19) pandemic, African governments have implemented non-pharmacological interventions (NPIs), such as imposing travel bans, confining people to their homes and closing schools, shops and workplaces. These NPIs are likely to be less effective in circumstances where people need to leave their homes to work, collect food, water and cooking fuel or where people cannot maintain distancing due to overcrowded living environments. Using data from the nationally representative South African General Household Survey 2019, we examined individuals’ vulnerability to the risk of COVID-19 infection due to their health, socioeconomic and living circumstances. We explored socioeconomic-related inequalities in COVID-19 using concentration curve and concentration index methods. Our results showed that vulnerability to COVID-19 was disproportionately concentrated among those with low socioeconomic status. Using the Recentered Influence Function decomposition approach, we found that higher income and education had a significant and positive impact on reducing socioeconomic-related COVID-19 vulnerability. Conversely, people with lower socioeconomic status were more likely to live in circumstances that made compliance with NPI requirements almost impossible, and they were also more likely to have pre-existing health conditions that made them more vulnerable to COVID-19.