(1) Background: Data on different steroid compounds for the treatment of hospitalized COVID-19 (coronavirus disease 2019) patients are still limited. The aim of this study was to compare COVID-19 patients admitted to non-intensive units and treated with methylprednisolone or dexamethasone. (2) Methods: This was a single-center retrospective study that included consecutive patients with COVID-19 hospitalized in medical wards during the second wave of the pandemic. Thirty-day mortality and the need for intensive or semi-intensive care were the main clinical outcomes analyzed in patients receiving methylprednisolone (60 mg/day) compared with dexamethasone (6 mg/day). Secondary outcomes included complication rates, length of hospital stay, and time to viral clearance. (3) Results: Two-hundred-forty-six patients were included in the analysis, 110 treated with dexamethasone and 136 with methylprednisolone. No statistically significant differences were found between the two groups of patients regarding 30-day mortality (OR 1.35, CI95% 0.71–2.56, p = 0.351) and the need for intensive or semi-intensive care (OR 1.94, CI95% 0.81–4.66, p = 0.136). The complication rates, length of hospital stay, and time to viral clearance did not significantly differ between the two groups. (4) Conclusions: In patients hospitalized for COVID-19 in non-intensive units, the choice of different steroid compounds, such as dexamethasone or methylprednisolone, did not affect the main clinical outcomes.