(1) Objectives: Patients with COVID-19 infection have been given various formulations and dosages of steroids over the last year and a half. This study aims to compare the effects of different formulations and doses of steroids on the 30 day in-hospital clinical outcome of patients with severe COVID-19 infection. (2) Material and Methods: An analysis of a retrospective cohort was carried out on patients with severe COVID-19 infection in a high-dependency unit (HDU) between February and July 2021. In total, 557 patients were included in this study. Patients who did not receive steroids (124) were excluded. Patients were divided into three groups based on dosages of steroids (Dexamethasone = 6 mg/day, Dexamethasone > 6 mg/day, and Methylprednisolone = 500 mg/day), given for 10 days. First, clinical outcome was evaluated on the 10th day of steroid administration in relation to mode of oxygen delivery. Then, Kaplan-Meier analysis was employed to determine 30 day in-hospital survival in relation to the use of steroid. (3) Results: Three groups were statistically equal according to biochemical characteristics. After 10 days of Methylprednisolone = 500 mg/day vs. Dexamethasone = 6 mg/day, 10.9% vs. 6.2% of patients required invasive ventilation ( = 0.01). The 30 day in-hospital mortality was lowest, 3%, in individuals receiving Dexamethasone = 6 mg/day, compared to 3.9% in individuals receiving Dexamethasone > 6 mg/day and 9.9% in individuals receiving Methylprednisolone = 500 mg/day, respectively. The median elapsed time was longer than 28 days between admission and outcome for Dexamethasone = 6 mg/day, compared to 18 days for Dexamethasone > 6 mg/day and 17 days for Methylprednisolone = 500 mg/day ( = < 0.0001). Dexamethasone = 6 mg/day was found to be a positive predictor of clinical outcome in COVID-19 patients on regression analysis. (4) Conclusions: Low-dose Dexamethasone (6 mg/day) is more effective than high-dose Dexamethasone and Methylprednisolone in improving the survival outcome of severe COVID-19 cases.