Automated and accurate segmentation of the infected regions in computed tomography (CT) images is critical for the prediction of the pathological stage and treatment response of COVID-19. Several deep convolutional neural networks (DCNNs) have been designed for this task, whose performance, however, tends to be suppressed by their limited local receptive fields and insufficient global reasoning ability. In this paper, we propose a pixel-wise sparse graph reasoning (PSGR) module and insert it into a segmentation network to enhance the modeling of long-range dependencies for COVID-19 infected region segmentation in CT images. In the PSGR module, a graph is first constructed by projecting each pixel on a node based on the features produced by the segmentation backbone, and then converted into a sparsely-connected graph by keeping only K strongest connections to each uncertain pixel. The long-range information reasoning is performed on the sparsely-connected graph to generate enhanced features. The advantages of this module are two-fold: (1) the pixel-wise mapping strategy not only avoids imprecise pixel-to-node projections but also preserves the inherent information of each pixel for global reasoning; and (2) the sparsely-connected graph construction results in effective information retrieval and reduction of the noise propagation. The proposed solution has been evaluated against four widely-used segmentation models on three public datasets. The results show that the segmentation model equipped with our PSGR module can effectively segment COVID-19 infected regions in CT images, outperforming all other competing models.