The severe respiratory disease COVID-19 was initially reported in Wuhan, China, in December 2019, and spread into many provinces from Wuhan. The corresponding pathogen was soon identified as a novel coronavirus named SARS-CoV-2 (formerly, 2019-nCoV). As of 2 May, 2020, over 3 million COVID-19 cases had been confirmed, and 235,290 deaths had been reported globally, and the numbers are still increasing. It is important to understand the phylogenetic relationship between SARS-CoV-2 and known coronaviruses, and to identify its hosts for preventing the next round of emergency outbreak. In this study, we employ an effective alignment-free approach, the Natural Vector method, to analyze the phylogeny and classify the coronaviruses based on genomic and protein data. Our results show that SARS-CoV-2 is closely related to, but distinct from the SARS-CoV branch. By analyzing the genetic distances from the SARS-CoV-2 strain to the coronaviruses residing in animal hosts, we establish that the most possible transmission path originates from bats to pangolins to humans.