Background: Recent trials with dexamethasone and hydrocortisone have demonstrated benefit in patients with coronavirus disease 2019 (COVID-19). Data on methylprednisolone are limited. Methods: Retrospective cohort of consecutive adults with severe COVID-19 pneumonia on high-flow oxygen (FiO2 ≥ 50%) admitted to an academic centre in New York, from 1 March to 15 April 2020. We used inverse probability of treatment weights to estimate the effect of methylprednisolone on clinical outcomes and intensive care resource utilization. Results: Of 447 patients, 153 (34.2%) received methylprednisolone and 294 (65.8%) received no corticosteroids. At 28 days, 102 patients (22.8%) had died and 115 (25.7%) received mechanical ventilation. In weighted analyses, risk for death or mechanical ventilation was 37% lower with methylprednisolone (hazard ratio 0.63; 95% CI 0.47-0.86; P =.003), driven by less frequent mechanical ventilation (subhazard ratio 0.56; 95% CI 0.40-0.79; P =.001); mortality did not differ between groups. The methylprednisolone group had 2.8 more ventilator-free days (95% CI 0.5-5.1; P =.017) and 2.6 more intensive care-free days (95% CI 0.2-4.9; P =.033) during the first 28 days. Complication rates were not higher with methylprednisolone. Conclusions: In nonintubated patients with severe COVID-19 pneumonia, methylprednisolone was associated with reduced need for mechanical ventilation and less-intensive care resource utilization without excess complications.