The hyperinflammatory phase represents the main cause for the clinical worsening of acute respiratory distress syndrome (ARDS) in Coronavirus disease 2019 (COVID-19), leading to the hypothesis that steroid therapy could be a mainstream treatment in COVID-19 patients. This is an observational study including all consecutive patients admitted to two Italian University Hospitals for COVID-19 from March 2020 to December 2021. The aim of this study was to describe clinical characteristics and outcome parameters of hospitalized COVID-19 patients treated with dexamethasone 6 mg once daily (standard-dose group) or methylprednisolone 40 mg twice daily (high-dose group). The primary outcome was the impact of these different steroid treatments on 30-day mortality. During the study period, 990 patients were evaluated: 695 (70.2%) receiving standard dosage of dexamethasone and 295 (29.8%) receiving a high dose of methylprednisolone. Cox regression analysis showed that chronic obstructive pulmonary disease (HR 1.98, CI95% 1.34–9.81, p = 0.002), chronic kidney disease (HR 5.21, CI95% 1.48–22.23, p = 0.001), oncologic disease (HR 2.81, CI95% 1.45–19.8, p = 0.005) and high-flow nasal cannula, continuous positive airway pressure or non-invasive ventilation oxygen therapy (HR 61.1, CI95% 5.12–511.1, p < 0.001) were independently associated with 30-day mortality; conversely, high-dose steroid therapy was associated with survival (HR 0.42, CI95% 0.38–0.86, p = 0.002) at 30 days. Kaplan–Meier curves for 30-day survival displayed a statistically significant better survival rate in patients treated with high-dose steroid therapy (p = 0.018). The results of this study highlighted that the use of high-dose methylprednisolone, compared to dexamethasone 6 mg once daily, in hospitalized patients with COVID-19 may be associated with a significant reduction in mortality.