COVID-19 has spread all over the world, having an enormous effect on our daily life and work. In response to the epidemic, a lot of important decisions need to be taken to save communities and economies worldwide. Data clearly plays a vital role in effective decision making. Data-driven decision making uses data related evidence and insights to guide the decision making process and to verify the plan of action before it is committed. To better handle the epidemic, governments and policy making institutes have investigated abundant data originating from COVID-19. These data include those related to medicine, knowledge, media, etc. Based on these data, many prevention and control policies are made. In this survey paper, we summarize the progress of data-driven decision making in the response to COVID-19, including COVID-19 prevention and control, psychological counselling, financial aid, work resumption, and school re-opening. We also propose some current challenges and open issues in data-driven decision making, including data collection and quality, complex data analysis, and fairness in decision making. This survey paper sheds light on current policy making driven by data, which also provides a feasible direction for further scientific research.