Since the start of the novel coronavirus 2019 (COVID-19) pandemic, corticosteroid use has been the subject of debate. The available evidence is uncertain, and knowledge on the subject is evolving. The aim of our cohort study was to evaluate the association between corticosteroid therapy and hospital mortality, in patients hospitalized with COVID-19 after balancing for possible confounders. One thousand four hundred forty four patients were admitted to our hospital with a positive RT-PCR test for SARS-CoV-2, 559 patients (39%) were exposed to corticosteroids during hospital stay, 844 (61%) were not exposed to corticosteroids. In the cohort of patients exposed to corticosteroids, 171 (30.6%) died. In the cohort of patients not exposed to corticosteroids, 183 (21.7%) died (unadjusted p < 0.001). Nonetheless, exposure to corticosteroids was not associated with in-hospital mortality after balancing with overlap weight propensity score (adjusted p = 0.25). Patients in the corticosteroids cohort had a reduced risk of ICU admission (adjusted p < 0.001). Treatment with corticosteroids did not affect hospital mortality in patients with COVID-19 after balancing for confounders. A possible advantage of corticosteroid therapy was to reduce Intensive Care Unit admission, which could be useful in reducing pressure on Intensive Care Units in times of limited resources, as during the COVID-19 pandemic.