Background Although associations between key weather indicators (i.e. temperature and humidity) and COVID-19 mortality have been reported, the relationship between these exposures at different timings in early infection stages (from virus exposure up to a few days after symptom onset) and the probability of death after infection (also called case fatality rate, CFR) has yet to be determined. Methods We estimated the instantaneous CFR of eight European countries using Bayesian inference in conjunction with stochastic transmission models, taking account of delays in reporting the number of newly confirmed cases and deaths. The exposure-lag-response associations between fatality rate and weather conditions to which patients were exposed at different timings were obtained using distributed lag nonlinear models coupled with mixed-effect models. Results Our results show that the Odds Ratio (OR) of death is negatively associated with the temperature, with two maxima (OR = 1.29 (95% CI: 1.23, 1.35) at -0.1°C; OR = 1.12 (95% CI: 1.08, 1.16) at 0.1°C) occurring at the time of virus exposure and after symptom onset. Two minima (OR = 0.81 (95% CI: 0.71, 0.92) at 23.2°C; OR = 0.71 (95% CI: 0.63, 0.80) at 21.7°C) also occurred at these two distinct periods correspondingly. Low humidity (below 50%) during the early stages and high humidity (approximately 89%) after symptom onset were related to the lower fatality. Conclusion Environmental conditions may affect not only the initial viral load when patients are exposed to the virus, but also individuals\' immune response around symptom onset. Warmer temperatures and higher humidity after symptom onset were linked to lower fatality.