The term cytokine storm refers to an uncontrolled overproduction of soluble inflammatory markers known as cytokines and chemokines. Autoimmune destruction of the lungs triggered by the release of these inflammatory markers often induces acute respiratory distress syndrome (ARDS). ARDS is an emergency condition with a high mortality rate in COVID-19 patients. Dexamethasone is the first repurposed corticosteroid with life-saving efficacy in patients with severe SARS-CoV-2 infection. Dexamethasone has traditionally been known to suppress the production of inflammatory markers at the transcriptional level, but its role as a direct therapeutic to neutralize cytokines, chemokines, their receptors, and functionally critical SARS-CoV-2 proteins has not yet been explored. Herein, we demonstrated that dexamethasone binds with high affinity to interlukin-1 (IL-1), IL-6, IL-8, IL-12, IL-21, INF2, TGFβ-1, INF-γ, CXCL8, some of the receptors, IL-1R, IL-21R, IFNGR, INFAR, IL-6αR-gp130, ST2 and the SARS-CoV-2 protein NSP macro X, and 3CLpro, forming stable drug–protein complexes. Our work implied that dexamethasone has the potential to directly neutralize inflammatory markers, further supporting its life-saving potential in patients with severe manifestations of COVID-19.