We develop a novel global perspective of the complexity of the relationships between three COVID-19 datasets, the standardised per-capita growth rate of COVID-19 cases and deaths, and the Oxford Coronavirus Government Response Tracker COVID-19 Stringency Index (CSI) which is a measure describing a country’s stringency of lockdown policies. We use a state-of-the-art heterogeneous intrinsic dimension estimator implemented as a Bayesian mixture model, called Hidalgo. Our findings suggest that these highly popular COVID-19 statistics may project onto two low-dimensional manifolds without significant information loss, suggesting that COVID-19 data dynamics are generated from a latent mechanism characterised by a few important variables. The low dimensionality imply a strong dependency among the standardised growth rates of cases and deaths per capita and the CSI for countries over 2020–2021. Importantly, we identify spatial autocorrelation in the intrinsic dimension distribution worldwide. The results show how high-income countries are more prone to lie on low-dimensional manifolds, likely arising from aging populations, comorbidities, and increased per capita mortality burden from COVID-19. Finally, the temporal stratification of the dataset allows the examination of the intrinsic dimension at a more granular level throughout the pandemic.