Background: Even though several therapeutic options are available, COVID-19 is still lacking a specific treatment regimen. One potential option is dexamethasone, which has been established since the early beginnings of the pandemic. The aim of this study was to determine its effects on the microbiological findings in critically ill COVID-19 patients. Methods: A multi-center, retrospective study was conducted, in which all the adult patients who had a laboratory-confirmed (PCR) SARS-CoV-2 infection and were treated on intensive care units in one of twenty hospitals of the German Helios network between February 2020–March 2021 were included. Two cohorts were formed: patients who received dexamethasone and those who did not, followed by two subgroups according to the application of oxygen: invasive vs. non-invasive. Results: The study population consisted of 1.776 patients, 1070 of whom received dexamethasone, and 517 (48.3%) patients with dexamethasone were mechanically ventilated, compared to 350 (49.6%) without dexamethasone. Ventilated patients with dexamethasone were more likely to have any pathogen detection than those without (p < 0.026; OR = 1.41; 95% CI 1.04–1.91). A significantly higher risk for the respiratory detection of Klebsiella spp. (p = 0.016; OR = 1.68 95% CI 1.10–2.57) and for Enterobacterales (p = 0.008; OR = 1.57; 95% CI 1.12–2.19) was found for the dexamethasone cohort. Invasive ventilation was an independent risk factor for in-hospital mortality (p < 0.01; OR = 6.39; 95% CI 4.71–8.66). This risk increased significantly in patients aged 80 years or older by 3.3-fold (p < 0.01; OR = 3.3; 95% CI 2.02–5.37) when receiving dexamethasone. Conclusion: Our results show that the decision to treat COVID-19 patients with dexamethasone should be a matter of careful consideration as it involves risks and bacterial shifts.