This article explores for a large number of countries in the European Union (plus the United Kingdom) the main demographic differentials in positive tested COVID-19 cases and excess mortality during the first wave in 2020, accounting for differences at territorial level, where population density and size play a main role in the diffusion and effects of the disease in terms of morbidity and mortality. This knowledge complements and refines the epidemiological information about the spread and impact of the virus. For this analysis, we rely on the descriptive exploration of (1) data from The European Surveillance System (TESSy) database developed at the European Centre for Disease Prevention and Control (ECDC) on the number of cases and fatality rates and (2) of weekly mortality data collected by Eurostat. The analysis at territorial level studies the changes in R0—the basic reproduction number—and median excess mortality, across territories with different levels of urbanization. The unique findings of this study encompassing most European Union Member States confirm and define the demographic and territorial differential impacts in terms of infections and fatalities during the first wave of the pandemic in 2020. The information is important for stakeholders at European Union, national and sub-national levels in charge of designing containment measures for COVID-19 and adaptation policies for the future by anticipating the rebound for certain segments of the population with differential medical and economic needs.