Coronavirus disease 2019 (COVID-19), caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), has rapidly spread globally, becoming a huge public health challenge. Even though the vast majority of patients are asymptomatic, some patients present with pneumonia, acute respiratory distress syndrome (ARDS), septic shock, and death. It has been shown in several studies that the severity and clinical outcomes are related to dysregulated antiviral immunity and enhanced and persistent systemic inflammation. Corticosteroids have been used for the treatment of COVID-19 patients, as they are reported to elicit benefits by reducing lung inflammation and inflammation-induced lung injury. Dexamethasone has gained a major role in the therapeutic algorithm of patients with COVID-19 pneumonia requiring supplemental oxygen or on mechanical ventilation. Its wide anti-inflammatory action seems to form the basis for its beneficial action, taming the overwhelming "cytokine storm". Amid a plethora of scientific research on therapeutic options for COVID-19, there are still unanswered questions about the right timing, right dosing, and right duration of the corticosteroid treatment. The aim of this review article was to summarize the data on the dexamethasone treatment in COVID-19 and outline the clinical considerations of corticosteroid therapy in these patients.