Corticosteroids have been widely used for acute respiratory distress syndrome (ARDS), but their role in the early phase of SARS-CoV-2 infection is controversial. Our study aimed to determine the effectiveness of early corticosteroid therapy (ECT) in preventing the progression of disease, reducing the escalation of care and improving clinical outcome in older patients hospitalized for COVID-19 pneumonia. A total of 90 subjects (47.7% women; mean age = 82.3 ± 6.7 years) were enrolled. ECT was administered to 33 out of 90 patients before the hospitalization. At admission, no difference was detected in median SOFA score (2, IQR:2 vs. 2, IQR: 2). We found a significant difference in mean PaO2/FiO2 ratio during the first week of hospitalization between ECT patients and controls (F = 5.49, p = 0.002) and in mean PaO2/FiO2 ratio over time (F = 6.94, p p = 0.63). ECT was associated with worse clinical outcomes, showing no benefit in attenuating the progression of the disease or reducing the escalation of care. These findings are crucial given the current pandemic, and further studies are needed to provide additional data on the optimal timing of initiating corticosteroid treatment.