The Covidence import page states that "References can be imported using the EndNote XML format, the PubMed format, or the RIS text format." However, by "PubMed format" they mean PubMed XML format. If you export from PubMed using Send to>Citation manager, it will produce a .nbib file, which is not compatible with Covidence. There are two ways around this.
Click the Save button then select from the dropdowns: Selection: All results and Format: PubMed.. Click Create file.The resulting file will be in PubMed XML and can be imported into Covidence.
Use the Send to>Citation manager option in PubMed. Import the .nbib file into your citation manager, then export it as an RIS file. The RIS file can be imported into Covidence.
Most databases other than PubMed allow the export of results in RIS format, so their results can be imported directly into Covidence. Below are instructions for some frequently used databases. Make sure to select RIS from the format options and to include all the results.