Severe forms of coronavirus 2019 (COVID-19) disease are caused by an exaggerated systemic inflammatory response and subsequent inflammation-related coagulopathy. Anti-inflammatory treatment with low dose dexamethasone has been shown to reduce mortality in COVID-19 patients requiring oxygen therapy. However, the mechanisms of action of corticosteroids have not been extensively studied in critically ill patients in the context of COVID-19. Plasma biomarkers of inflammatory and immune responses, endothelial and platelet activation, neutrophil extracellular trap formation, and coagulopathy were compared between patients treated or not by systemic dexamethasone for severe forms of COVID-19. Dexamethasone treatment significantly reduced the inflammatory and lymphoid immune response in critical COVID-19 patients but had little effect on the myeloid immune response and no effect on endothelial activation, platelet activation, neutrophil extracellular trap formation, and coagulopathy. The benefits of low dose dexamethasone on outcome in critical COVID-19 can be partially explained by a modulation of the inflammatory response but not by reduction of coagulopathy. Future studies should explore the impact of combining dexamethasone with other immunomodulatory or anticoagulant drugs in severe COVID-19.