Corticosteroids are anti-inflammatory medications frequently prescribed in chronic obstructive pulmonary disease. Inhaled corticosteroids are indicated in these patients with forced expiratory volume in one second lower than 50% of predicted and/or frequent exacerbations. In addition, systemic corticosteroids are used to treat chronic obstructive pulmonary disease exacerbations. However, the immunosuppressive effect caused by corticosteroids may have side effects and increase the incidence of infections. Multiple studies have linked the chronic outpatient use of inhaled corticosteroids and the risk of developing pneumonia. Furthermore, chronic uses of systemic corticosteroids have been related to a higher incidence of pneumonia due to highly resistant bacteria. Nevertheless, several studies found a beneficial effect of inhaled corticosteroids, lowering mortality in chronic obstructive pulmonary disease patients who have already developed pneumonia. And the use of systemic corticosteroids as adjunctive therapy in community acquired pneumonia may be beneficial. We review the association of inhaled corticosteroids and systemic corticosteroids with the risk of pneumonia and the implications on clinical outcomes in patients with chronic obstructive pulmonary disease.