We explored the role of socioeconomic inequalities in COVID-19 incidence among cancer patients during the first wave of the pandemic. We conducted a case-control study within the UK Biobank cohort linked to the COVID-19 tests results available from 16 March 2020 until 23 August 2020. The main exposure variable was socioeconomic status, assessed using the Townsend Deprivation Index. Among 18,917 participants with an incident malignancy in the UK Biobank cohort, 89 tested positive for COVID-19. The overall COVID-19 incidence was 4.7 cases per 1000 incident cancer patients (95%CI 3.8–5.8). Compared with the least deprived cancer patients, those living in the most deprived areas had an almost three times higher risk of testing positive (RR 2.6, 95%CI 1.1–5.8). Other independent risk factors were ethnic minority background, obesity, unemployment, smoking, and being diagnosed with a haematological cancer for less than five years. A consistent pattern of socioeconomic inequalities in COVID-19 among incident cancer patients in the UK highlights the need to prioritise the cancer patients living in the most deprived areas in vaccination planning. This socio-demographic profiling of vulnerable cancer patients at increased risk of infection can inform prevention strategies and policy improvements for the coming pandemic waves.