Evidence to support the use of steroids in coronavirus disease 2019 (COVID-19) pneumonia is lacking. We aim to determine the impact of steroid use for COVID-19 pneumonia on hospital mortality. We performed a single-center retrospective cohort study in a university hospital in Madrid, Spain, during March of 2020. To determine the role of steroids in in-hospital mortality, patients admitted with severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) pneumonia and treated with steroids were compared to patients not treated with steroids, and we adjusted with a propensity score for patients on steroid treatment. Survival times were compared using the log rank test. Different steroid regimens were compared and adjusted with a second propensity score. During the study period, 463 out of 848 hospitalized patients with COVID-19 pneumonia fulfilled inclusion criteria. Among them, 396 (46.7%) patients were treated with steroids and 67 patients were not. Global mortality was 15.1%. The median time to steroid treatment from symptom onset was 10 days (interquartile range IQR, 8 to 13 days). In-hospital mortality was lower in patients treated with steroids than in controls (13.9% 55/396 versus 23.9% 16/67; hazard ratio HR, 0.51 95% confidence interval, 0.27 to 0.96; = 0.044). Steroid treatment reduced mortality by 41.8% relative to the mortality with no steroid treatment (relative risk reduction, 0.42 95% confidence interval, 0.048 to 0.65). Initial treatment with 1 mg/kg of body weight/day of methylprednisolone versus steroid pulses was not associated with in-hospital mortality (13.5% 42/310 versus 15.1% 13/86; odds ratio OR, 0.880 95% confidence interval, 0.449 to 1.726;  = 0.710). Our results show that the survival of patients with SARS-CoV-2 pneumonia is higher in patients treated with glucocorticoids than in those not treated. Rates of in-hospital mortality were not different between initial regimens of 1 mg/kg/day of methylprednisolone and glucocorticoid pulses.