The high prevalence of Diabetic macular edema (DME) is a real global health problem. Its complex pathophysiology involves different pathways. Over the last decade, the introduction of intravitreal treatments has dramatically changed the management and prognosis of DME. Among the different treatment options, inhibitors of vascular endothelial growth factor (anti-VEGF) and intravitreal steroids implants represent the first-line therapy of DME. We conducted a review of electronic databases to compile the available evidence about the clinical management of DME in a clinical setting, with a special focus on treatment-naïve patients. Anti-VEGF therapies represent a valuable option for treating DME patients. However, many patients do not respond properly to this treatment and, due to its administration regimen, many patients receive suboptimal treatment in real life. Current evidence demonstrated that in patients with DME, DEX-i improved significantly both anatomic and visual outcomes. Besides eyes with insufficient anti-VEGF respond or recalcitrant DME cases, DEX-i can be effectively and safely used in treatment-naïve DME patients as first line therapy. DEX-i may be considered first line therapy in different clinical scenarios, such as DME eyes with a greater inflammatory component, patients with cardiovascular events, vitrectomized eyes, or those requiring cataract surgery. In conclusion, there are still many points for improvement pending in the clinical management of the patient with DME. Since DME treatment must follow a patient-tailored approach, selecting the best therapeutic approach for each patient requires a good understanding of the pathophysiology of DME.