To assess whether high- compared with low-dose corticosteroids started upon hospitalization reduce mortality in patients with severe COVID-19 pneumonia or in subgroups stratified by severity of respiratory impairment on admission. We conducted a retrospective cohort study of patients with confirmed SARS-CoV-2 infection who required oxygen supplementation upon hospitalization between March 1 and December 31, 2020. In-hospital death was analyzed using logistic regression with inverse probability of treatment weighting of receiving low- or high-dose corticosteroid (dexamethasone 6-10 mg daily or >10-20 mg daily or other corticosteroid equivalents). We analyzed 13,366 patients who received low-dose and 948 who received high-dose corticosteroids, of whom 31.3% and 40.4% had severe respiratory impairment (>15 l/min of oxygen or mechanical ventilation) upon admission, respectively. There were no differences in the propensity score-adjusted odds of death (odds ratio 1.17, 95% CI 0.72-1.90) or infections (odds ratio 0.70, 95% CI 0.44-1.11) for patients who received high-dose compared with low-dose corticosteroids, beginning on the day of admission. No significant differences in subgroups stratified by severity of respiratory impairment were found. Initiating high-dose compared with low-dose corticosteroids among newly hospitalized patients with COVID-19 pneumonia did not improve survival. However, benefit of high-dose corticosteroids in specific subgroups cannot be excluded.