A preliminary study of brain imaging taken of before COVID-19 infection and after showed a reduced amount of gray matter thickness in the frontal and temporal lobes. This seems to explain some of the symptoms like loss of smell and taste (associated with the olfactory bulb) as well as other side effects like memory loss.
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A paper published in Nature looked at brain autopsies of people that died from COVID-19. Brain endothelial cells were found to be infected and there was an increase in string vessels (lost capillaries).