For targeted intervention in coronavirus disease 2019 (COVID‐19), there is a high medical need for biomarkers that predict disease progression and severity in the first days after symptom onset. This study assessed the utility of early transforming growth factor β (TGF‐β) serum levels in COVID‐19 patients to predict disease severity, fatality, and response to dexamethasone therapy. Patients with severe COVID‐19 had significantly higher TGF‐β levels (416 pg/mL) as compared to patients with mild (165 pg/mL, p < 0.0001) or moderate COVID‐19 (241 pg/mL; p < 0.0001). Receiver operating characteristics area under the curve values were 0.92 (95% confidence interval [CI] 0.85–0.99, cut‐off: 255 pg/mL) for mild versus severe COVID‐19, and 0.83 (95% CI 0.65–1.0, cut‐off: 202 pg/mL) for moderate versus severe COVID‐19. Patients who died of severe COVID‐19 had significantly higher TGF‐β levels (453 pg/mL) as compared to convalescent patients (344 pg/mL), and TGF‐β levels predicted fatality (area under the curve: 0.75, 95% CI 0.53–0.96). TGF‐β was significantly reduced in severely ill patients treated with dexamethasone (301 pg/mL) as compared to untreated patients (416 pg/mL; p < 0.05). Early TGF‐β serum levels in COVID‐19 patients predict, with high accuracy, disease severity, and fatality. In addition, TGF‐β serves as a specific biomarker to assess response to dexamethasone treatment.