Covered queries and covering indexes are different, yet closely related. A query is covered if all the columns it uses come from one or more indexes.
These columns include the columns you want the query to return as well as columns in any JOIN, WHERE, HAVING, and ORDER BY clause. A covered query typically is considered advantageous because data access through indexes can be more efficient. However, the high-speed access that this kind of query facilitates can become costly when you update a table because you must maintain the indexes. [via]