Dexamethasone, a synthetic glucocorticoid, has previously shown mortality benefit in severe coronavirus disease 2019 (COVID-19) in a randomized controlled trial. As the illness is considered to reflect a hyperinflammatory state, this therapeutic effectiveness is presumably ascribed to broad anti-inflammatory activities of glucocorticoids. Here, an unbiased analysis of available transcriptomic data on lung and blood immune cells from severe COVID-19 patients, and matching cellular models of dexamethasone treatment is presented that supports this presumption. Comparison of differentially expressed genes in severe COVID-19 with that in dexamethasone treated cells reveals a small set of genes that are regulated in opposite direction between the disease and the drug, and are enriched for genes and processes related to glucocorticoid pathway and receptor binding. This expression signature differentiates various cytokines as a whole from a set of anti-cytokine/anti-inflammatory agents, with the former resembling COVID-19 and the latter dexamethasone in gene regulation. The signature apparently relates to TNF- α, IL-1α, IL-1β, IFN-α, IFN-β, and IFN-γ signaling, but not IL-6 signaling, suggesting that therapeutic effect of dexamethasone in COVID-19 does not involve IL-6 pathway. However, as all these observations are purely based on bioinformatic analysis, experimental evidence will be required to validate the inferences drawn. In conclusion, the present analysis seems to provide a proof of concept for therapeutic mechanisms of dexamethasone in COVID-19.