To assess whether escalating to high-dose corticosteroids or anakinra compared with continuing low-dose corticosteroids reduced mortality in patients with severe COVID-19 whose respiratory function deteriorated while receiving dexamethasone 6 mg daily. We conducted a retrospective cohort study between March 1 to December 31, 2020, of hospitalized patients with confirmed COVID-19 pneumonia. In-hospital death was analyzed using logistic regression with inverse probability of treatment weighting of receiving anakinra, high-dose corticosteroid (dexamethasone >10 mg daily), or remaining on low-dose corticosteroids on the day of first respiratory deterioration. We analyzed 6671 patients whose respiratory status deteriorated while receiving dexamethasone 6 mg daily for COVID-19 pneumonia, of whom 6265 stayed on low-dose corticosteroids, 232 were escalated to high-dose corticosteroids, and 174 to anakinra in addition to corticosteroids. The propensity score-adjusted odds of death were higher in the anakinra (odds ratio [OR] 1.76; 95% CI 1.13-2.72) and high-dose corticosteroid groups (OR 1.53; 95% CI 1.14-2.07) compared with those who continued low-dose corticosteroids on the day of respiratory deterioration. The odds of hospital-acquired infections were also higher in the anakinra (OR 2.00; 95% CI 1.28-3.11) and high-dose corticosteroid groups (OR 1.43; 95% CI 1.00-2.04) compared with low-dose corticosteroid group. Our findings do not support escalating patients with COVID-19 pneumonia who deteriorate on low-dose corticosteroids to high-dose corticosteroids or anakinra.