In patients with non-alcoholic fatty liver disease (NAFLD) with or without type 2 diabetes mellitus (T2DM), alpha-2 macroglobulin (A2M), apolipoprotein A1 (ApoA1), and haptoglobin are associated with the risk of liver fibrosis, inflammation (NASH), and COVID-19. We assessed if these associations were worsened by T2DM after adjustment by age, sex, obesity, and COVID-19. Three datasets were used: the “Control Population”, which enabled standardization of protein serum levels according to age and sex (N = 27,382); the “NAFLD-Biopsy” cohort for associations with liver features (N = 926); and the USA “NAFLD-Serum” cohort for protein kinetics before and during COVID-19 (N = 421,021). The impact of T2DM was assessed by comparing regression curves adjusted by age, sex, and obesity for the liver features in “NAFLD-Biopsy”, and before and during COVID-19 pandemic peaks in “NAFLD-Serum”. Patients with NAFLD without T2DM, compared with the values of controls, had increased A2M, decreased ApoA1, and increased haptoglobin serum levels. In patients with both NAFLD and T2DM, these significant mean differences were magnified, and even more during the COVID-19 pandemic in comparison with the year 2019 (all p < 0.001), with a maximum ApoA1 decrease of 0.21 g/L in women, and a maximum haptoglobin increase of 0.17 g/L in men. In conclusion, T2DM is associated with abnormal levels of A2M, ApoA1, and haptoglobin independently of NAFLD, age, sex, obesity, and COVID-19.