Dexamethasone provides benefits in patients with coronavirus disease 2019 (COVID-19), although data regarding immunological profiles and viral clearance are limited. This study aimed to evaluate for differences in biomarkers among patients with severe COVID-19 who did and did not receive dexamethasone. We measured plasma biomarkers of lung epithelial/endothelial injury and inflammation in 31 patients with severe COVID-19 and in 13 controls. Changes in biomarkers and clinical parameters were compared during the 7-day period among COVID-19 patients, and also according to dexamethasone use. Thirty-two patients with severe COVID-19 who received mechanical ventilation (n = 6), high-flow nasal cannula (n = 11), and supplemental oxygen (n = 15) were analyzed. Relative to controls, patients with severe COVID-19 had significantly higher concentrations of biomarkers related to glycocalyx shedding (endocan and syndecan-1), endothelial injury (von Willebrand factor), and inflammation (soluble receptor for advanced glycation end-products [sRAGE] and interleukin-6). The 7-day decreases in biomarkers of endothelial injury (angiopoietin-2 [Ang-2] and intercellular adhesion molecule-1 [ICAM-1]) and sRAGE, but not in the biomarker of lung epithelial injury (surfactant protein D), were correlated with decreases in C-reactive protein and radiologic score at day 7. Twenty patients (63%) received dexamethasone, and the dexamethasone and non-dexamethasone groups differed in terms of disease severity. However, dexamethasone was associated marginally with increased SpO2/FiO2 and significantly with decreases in C-reactive protein and radiologic score after adjusting for baseline imbalances. Furthermore, the dexamethasone group exhibited a significant decrease in the concentrations of Ang-2, ICAM-1, soluble form of the Tie2 receptor (a biomarker of glycocalyx shedding), and sRAGE. Both groups exhibited a clinically insignificant increase in the cycle threshold value. Severe COVID-19 may be characterized by more severe endothelial injury and inflammation, and less severe lung epithelial injury. There is a possibility that dexamethasone improved severe COVID-19 and related endothelial injury without delaying viral clearance.