Purpose: Although there is evidence supporting the benefits of corticosteroids in patients affected with severe coronavirus disease 2019 (COVID-19), there is little information related to their potential benefits or harm in some subgroups of patients admitted to the intensive care unit (ICU) with COVID-19. We aim to investigate to find candidate variables to guide personalized treatment with steroids in critically ill patients with COVID-19. Methods: Multicentre, observational cohort study including consecutive COVID-19 patients admitted to 55 Spanish ICUs. The primary outcome was 90-day mortality. Subsequent analyses in clinically relevant subgroups by age, ICU baseline illness severity, organ damage, laboratory findings and mechanical ventilation were performed. High doses of corticosteroids (≥ 12 mg/day equivalent dexamethasone dose), early administration of corticosteroid treatment (< 7 days since symptom onset) and long term of corticosteroids (≥ 10 days) were also investigated. Results: Between February 2020 and October 2021, 4226 patients were included. Of these, 3592 (85%) patients had received systemic corticosteroids during hospitalisation. In the propensity-adjusted multivariable analysis, the use of corticosteroids was protective for 90-day mortality in the overall population (HR 0.77 [0.65–0.92], p = 0.003) and in-hospital mortality (SHR 0.70 [0.58–0.84], p < 0.001). Significant effect modification was found after adjustment for covariates using propensity score for age (p = 0.001 interaction term), Sequential Organ Failure Assessment (SOFA) score (p = 0.014 interaction term), and mechanical ventilation (p = 0.001 interaction term). We observed a beneficial effect of corticosteroids on 90-day mortality in various patient subgroups, including those patients aged ≥ 60 years; those with higher baseline severity; and those receiving invasive mechanical ventilation at ICU admission. Early administration was associated with a higher risk of 90-day mortality in the overall population (HR 1.32 [1.14–1.53], p < 0.001). Long-term use was associated with a lower risk of 90-day mortality in the overall population (HR 0.71 [0.61–0.82], p < 0.001). No effect was found regarding the dosage of corticosteroids. Moreover, the use of corticosteroids was associated with an increased risk of nosocomial bacterial pneumonia and hyperglycaemia. Conclusion: Corticosteroid in ICU-admitted patients with COVID-19 may be administered based on age, severity, baseline inflammation, and invasive mechanical ventilation. Early administration since symptom onset may prove harmful.