Mobile phone data have been widely used to model the spread of COVID-19; however, quantifying and comparing their predictive value across different settings is challenging. Their quality is affected by various factors and their relationship with epidemiological indicators varies over time. Here, we adopt a model-free approach based on transfer entropy to quantify the relationship between mobile phone-derived mobility metrics and COVID-19 cases and deaths in more than 200 European subnational regions. Using multiple data sources over a one-year period, we found that past knowledge of mobility does not systematically provide statistically significant information on COVID-19 spread. Our approach allows us to determine the best metric for predicting disease incidence in a particular location, at different spatial scales. Additionally, we identify geographic and demographic factors, such as users’ coverage and commuting patterns, that explain the (non)observed relationship between mobility and epidemic patterns. Our work provides epidemiologists and public health officials with a general—not limited to COVID-19—framework to evaluate the usefulness of human mobility data in responding to epidemics.