Suitable and efficient treatments for Henoch-Schönlein purpura nephritis (HSPN) with proteinuria remains unclear. Whether steroids combined with immunosuppressive agents improves prognosis compared to steroid therapy alone also remains controversial. This study explored whether combined therapy reduces proteinuria in HSPN patients with different pathological features. Chinese patients (n = 84) diagnosed with HSPN with proteinuria by renal biopsy between 2010 and 2019 were retrospectively studied. Patients were grouped into the steroid group (control) or the combined steroid and immunosuppressant group. Estimated glomerular filtration rate (eGFR) (mL/min/1.73 m2/y) and proteinuria were measured. The primary outcome progression was analyzed using Kaplan–Meier survival curves. The effect of the combined therapy on renal outcome was analyzed by multivariable Cox regression. Propensity score matching and sensitivity analysis were used to explore whether pathological features impacted prognosis. Patients who received combined steroid and immunosuppressant therapy were more likely to recover from HSPN and had proteinuria <3 g/24 h (P = 0.02) or 1 g/24 h (P = 0.03). Multiple Cox regression analysis confirmed that this decrease was independent of renin–angiotensin system blockers. Further sensitivity analysis showed that combined therapy was effective in patients with crescents (P = 0.02). However, combined steroid and immunosuppressant therapy was not more effective in patients with endocapillary hypercellularity (E), tubular atrophy/interstitial fibrosis (T), or segmental sclerosis (S). Combined steroid and immunosuppressant therapy was significantly associated with HSPN remission, and more effectively decreased proteinuria during the initial disease phase.