Endothelial dysfunction, coagulation and inflammation biomarkers are increasingly emerging as prognostic markers of poor outcomes and mortality in severe and critical COVID-19. However, the effect of dexamethasone has not been investigated on these biomarkers. Hence, we studied potential prognostic biomarkers of mortality in critically ill COVID-19 patients who had either received or not dexamethasone. Biomarker serum levels were measured on intensive care unit (ICU) admission (within 24 h) in 37 dexamethasone-free and 29 COVID-19 patients who had received the first dose (6 mg) of dexamethasone. Receiver operating characteristic (ROC) curves were generated to assess their value in ICU mortality prediction, while Kaplan–Meier analysis was used to explore associations between biomarkers and survival. In the dexamethasone-free COVID-19 ICU patients, non-survivors had considerably higher levels of various endothelial, immunothrombotic and inflammatory biomarkers. In the cohort who had received one dexamethasone dose, non-survivors had higher ICU admission levels of only soluble (s) vascular cell adhesion molecule-1 (VCAM-1), soluble urokinase-type plasminogen activator receptor (suPAR) and presepsin. As determined from the generated ROC curves, sVCAM-1, suPAR and presepsin could still be reliable prognostic ICU mortality biomarkers, following dexamethasone administration (0.7 < AUC < 0.9). Moreover, the Kaplan–Meier survival analysis showed that patients with higher than the median values for sVCAM-1 or suPAR exhibited a greater mortality risk than patients with lower values (Log-Rank test, p < 0.01). In our single-center study, sVCAM-1, suPAR and presepsin appear to be valuable prognostic biomarkers in assessing ICU mortality risk in COVID-19 patients, even following dexamethasone administration.