Abstract Background Evidence is lacking about any additional benefits of introducing remdesivir on top of dexamethasone, and the optimal timing of initiation. Methods In a territory-wide cohort of 10 445 coronavirus disease 2019 (COVID-19) patients from Hong Kong who were hospitalized between 21 January 2020 and 31 January 2021, 1544 had received dexamethasone during hospitalization. The exposure group consisted of patients who had initiated remdesivir prior to dexamethasone (n = 93) or co-initiated the 2 drugs simultaneously (n = 373), whereas the nonexposure group included patients who were given remdesivir after dexamethasone (n = 149) or those without remdesivir use (n = 929). Multiple imputation and inverse probability of treatment weighting for propensity score were applied and hazard ratios (HRs) of event outcomes were estimated using Cox regression models. Results Time to clinical improvement (HR = 1.23; 95% CI, 1.02–1.49; P = .032) and positive IgG antibody (HR = 1.22; 95% CI, 1.02–1.46; P = .029) were significantly shorter in the exposure group than that of nonexposure. The exposure group had a shorter hospital length of stay by 2.65 days among survivors, lower WHO clinical progression scale scores from 5 days of follow-up onwards, and lower risks of in-hospital death (HR = .59; 95% CI, .36–.98; P = .042) and composite outcomes; and without experiencing an increased risk of acute respiratory distress syndrome. Differences in the cumulative direct medical costs between groups were no longer significant from 17 days of follow-up onwards. Conclusions Initiation of remdesivir prior to or simultaneously with dexamethasone was associated with significantly shorter time to clinical improvement and positive IgG antibody, lower risk of in-hospital death, in addition to shorter length of hospital stay in patients with moderate COVID-19.