In this paper the capacity of Covariance Proper Transformation (CPT) analyses to provide information about the wind loading mechanisms of bluff bodies is investigated through the application to square cylinders. CPT is applied to the fluctuating pressure distributions on a single cylinder, as well as on a pair of cylinders in the tandem and side by side arrangements, with different separations. Both smooth and turbulent flow conditions are considered. First, through the analysis of the contributions of each CPT mode to the total fluctuating aerodynamic forces, a correspondence between modes and aerodynamic components is sought, which is then verified through examination of the mode shapes. When a correspondence between modes and aerodynamic components is found, an attempt is made to separate the different frequency contributions to the aerodynamic forces, provided by each mode. From the analyses it emerges that (a) in most cases each mode is associated to one single force component, that (b) retaining a limited number of modes allows reproducing the aerodynamic forces with a rather good accuracy, and that (c) each mode is mainly associated with one frequency of excitation.