Introduction Severe pneumonia is a crucial issue in the development of acute kidney injury (AKI). This study evaluated the efficacy of early goal-directed renal replacement therapy (GDRRT) for the treatment of severe pneumonia-associated AKI. Methods In this real-world retrospective cohort study, we recruited 180 patients with severe pneumonia who were hospitalized and received GDRRT in a third-class general hospital in East China between January 1, 2017, and December 31, 2021. Clinical data on baseline characteristics, biochemical indicators, and renal replacement therapy were collected. Patients were divided into Early and Late RRT groups according to fluid status, inflammation progression, and pulmonary radiology. We investigated in-hospital all-cause mortality (primary endpoint) and renal recovery (secondary endpoint) between the two groups. Results Among the 154 recruited patients, 80 and 74 were in the early and late RRT groups, respectively. There were no significant differences in the demographic characteristics between the two groups. The duration of admission to RRT initiation was significantly shorter in Early RRT group [2.5(1.0, 8.7) d vs. 5.0(1.5,13.5) d, p = 0.027]. At RRT initiation, the patients in the Early RRT group displayed a lower percentage of fluid overload, lower doses of vasoactive agents, higher CRP levels, and higher rates of radiographic progression than those in the Late RRT group. The all-cause in-hospital mortality was significantly lower in the Early RRT group than in Late group (52.5% vs. 86.5%, p < 0.001). Patients in the Early RRT group displayed a significantly higher proportion of complete renal recovery at discharge (40.0% vs. 8.1%, p < 0.001). Conclusion This study clarified that early GDRRT for the treatment of severe pneumonia-associated AKI based on fluid status and inflammation progression, was associated with reduced hospital mortality and better recovery of renal function. Our preliminary study suggests that early initiation of RRT may be an effective approach for severe pneumonia-associated AKI.