Background: Community-acquired pneumonia (CAP) is a leading cause of morbidity and mortality worldwide despite correct antibiotic use. Corticosteroids have long been evaluated as a treatment option, but heterogeneous effects on survival have precluded their widespread implementation. We aimed to evaluate whether corticosteroids might improve clinical outcomes in patients with severe CAP and high inflammatory responses. Study design and methods: We analyzed two prospective observational cohorts of patients with CAP in Barcelona and Rome who were admitted to intensive care with a high inflammatory response. Propensity score (PS) matching was used to obtain balance among the baseline variables in both groups, and we excluded patients with viral pneumonia or who received hydrocortisone. Results: Of the 610 patients admitted with severe CAP, 198 (32%) received corticosteroids and 387 had major criteria for severe CAP. All patients had a baseline serum C-reactive protein above 15 mg/dL. Patients who received corticosteroids were more commonly male, had more comorbidities (e.g., cancer or chronic obstructive pulmonary disease), and presented with significantly higher sequential organ failure assessment scores. Eighty-nine patients met major severity criteria (invasive mechanical ventilation and/or septic shock) and were matched per group. Twenty-eight-day mortality was lower among patients receiving corticosteroids (16 patients, 18%) than among those not receiving them (28 patients, 31%; p = 0.037). After PS matching, corticosteroid therapy reduced the 28-day mortality risk in patients who met major severity criteria (hazard ratio (HR) 0.53, 95% confidence interval (CI) 0.29–0.98) (p = 0.043). In patients who did not meet major severity criteria, no benefits were observed with corticosteroid use (HR 0.88 (95%CI 0.32–2.36). Conclusions: Corticosteroid treatment may be of benefit for patients with CAP who have septic shock and/or a high inflammatory response and requirement for invasive mechanical ventilation. Corticosteroids appear to have no impact on mortality when these features are not present.