The Roma is the most excluded non-migrant ethnic minority in Europe, facing prejudice, intolerance, discrimination, and social exclusion in their daily lives. This has led to a huge gap in several social domains between the Roma and non-Roma created for centuries. The COVID-19 pandemic has only increased the social and health inequalities that the Roma faced. In this context, it is important to identify actions that have been successful in mitigating the effects that the COVID-19 has had in increasing such inequalities. This paper presents the findings of a mixed-method study carried out in Catalonia (Spain) with the participation of more than 500 Roma, who reported their experience. The study results confirm the significant vulnerability and the negative impact of the COVID-19 pandemic on the Roma communities. Our research also highlights several successful actions developed by the Integrated Plan for the Roma of the Catalan Government, such as health literacy and adult education, as having a positive impact on the quality of life of many Roma during the health and social crisis generated by the COVID-19 pandemic. This paper suggests that the lessons learned from Catalonia could be transferred to other contexts across Europe and guide decision makers to promote the social inclusion and quality of life of the Roma, protecting Roma communities during current and future pandemics.