Background: Immune-related adverse events (irAEs) are inflammatory side effects, which can occur during immune-checkpoint(s) inhibitors (ICIs) therapy. Steroids are the first-line agents to manage irAEs because of their immunosuppressive properties. However, it is still debated whether or when steroids can be administered without abrogating the therapeutic efforts of immunotherapy. Methods: We retrospectively evaluated 146 patients with metastatic non-small cell lung cancer (NSCLC), melanoma and renal cell carcinoma (RCC) treated with ICIs. We assessed the progression-free survival (PFS) of patients treated with steroids due to an irAE compared to a no-steroid group. Results: The early treatment with steroid (within the first 30 days from the beginning of immunotherapy) was not related to a shorter PFS (p = 0.077). Interestingly, patients who were treated with steroids after 30 days from the start of immunotherapy had significantly longer PFS (p = 0.017). In a multivariate analysis, treatment with steroids after 30 days was an independent prognostic factor for PFS (HR: 0.59 [95% CI 0.36–0.97], p = 0.037). Conclusions: This retrospective study points out that early systemic steroids administration to manage irAEs might not have a detrimental effect on patient clinical outcome in NSCLC, melanoma and RCC patients.