The efficacy of steroid pulse therapy for treating severe coronavirus disease (COVID-19) pneumonia remains unclear. This study aimed to determine the efficacy of steroid pulse therapy for severe COVID-19 pneumonia in patients who did not respond to conventional therapy, including steroids. We included 76 patients with severe COVID-19 pneumonia treated with steroids in this single-facility retrospective observational study. Severe COVID-19 pneumonia was defined as requiring high-concentration oxygen administration (oxygen mask with reservoir mask (RM) > 6 L/min), high-flow nasal cannula oxygen therapy, or ventilatory support for respiratory control. The patient characteristics at admission and changes in them over time were examined in (a) a survival vs. death group, and (b) a steroid pulse vs. non-steroid pulse therapy group. Steroid pulse therapy significantly improved the ratio of partial pressure of arterial oxygen to fraction of inspired oxygen just after the therapy and after one week of therapy, but had no effect on the sequential organ failure assessment scores over time. Multivariate logistic regression analyses showed that remdesivir use was associated with better survival outcomes, while steroid pulse therapy was associated with poor outcomes. In conclusion, steroid pulse therapy did not improve the prognosis of patients with severe COVID-19 pneumonia any more effectively than conventional steroid therapy.