Corticosteroids are largely recommended in patients with severe COVID-19. However, evidence to support high-dose methylprednisolone (MP) pulses is not as robust as that demonstrated for low-dose dexamethasone (DXM) in the RECOVERY trial. This is a retrospective cohort study on severe, non-critically ill patients with COVID-19, comparing 3-day MP pulses ≥ 100 mg/day vs. DXM 6 mg/day for 10 days. The primary outcome was in-hospital mortality, and the secondary outcomes were need of intensive care unit (ICU) admission or invasive mechanical ventilation (IMV). Propensity-score matching (PSM) analysis was applied. From March 2020 to April 2021, a total of 2,284 patients were admitted to our hospital due to severe, non-critically ill COVID-19, and of these, 189 (8.3%) were treated with MP, and 493 (21.6%) with DXM. The results showed that patients receiving MP showed higher in-hospital mortality (31.2% vs. 17.8%, p < 0.001), need of ICU admission (29.1% vs. 20.5%, p = 0.017), need of IMV (25.9% vs. 13.8, p < 0.001), and median hospital length of stay (14 days vs. 11 days, p < 0.001). Our results suggest that treatment with low-dose DXM for 10 days is superior to 3 days of high-dose MP pulses in preventing in-hospital mortality and need for ICU admission or IMV in severe, non-critically ill patients with COVID-19.