Objective To illustrate the effect of corticosteroids and heparin, respectively, on coronavirus disease 2019 (COVID-19) patients’ CD8+ T cells and D-dimer. Methods In this retrospective cohort study involving 866 participants diagnosed with COVID-19, patients were grouped by severity. Generalized additive models were established to explore the time-course association of representative parameters of coagulation, inflammation and immunity. Segmented regression was performed to examine the influence of corticosteroids and heparin upon CD8+ T cell and D-dimer, respectively. Results There were 541 moderate, 169 severe and 156 critically ill patients involved in the study. Synchronous changes of levels of NLR, D-dimer and CD8+ T cell in critically ill patients were observed. Administration of methylprednisolone before 14 DFS compared with those after 14 DFS ( β = 0.154%, 95% CI=(0, 0.302), p =.048) or a dose lower than 40 mg per day compared with those equals to 40 mg per day ( β = 0.163%, 95% CI=(0.027, 0.295), p =.020) significantly increased the rising rate of CD8+ T cell in 14–56 DFS. Conclusions The parameters of coagulation, inflammation and immunity were longitudinally correlated, and an early low-dose corticosteroid treatment accelerated the regaining of CD8+ T cell to help battle against SARS-Cov-2 in critical cases of COVID-19.