Among working-age people, diabetic retinopathy and diabetic macular edema are currently considered the main causes of blindness. Nowadays, intravitreal injections are widely acknowledged as a significant milestone in ophthalmology, especially for the treatment of several retinal diseases, including diabetic macular edema. In particular, anti-vascular endothelial growth factor (VEGF) agents are typically the first line of treatment; however, monthly injections are required, at least, during the loading dosage. Notably, an intravitreal 0.7 mg dexamethasone (DEX) implant (Ozurdex®, AbbVie Inc., North Chicago, IL, USA) is considered a legitimate substitute treatment for diabetic eyes that have not responded to anti-VEGF treatment. In fact, clinical trials and real-life studies have demonstrated the effectiveness and safety of an intravitreal DEX implant in treating such conditions over a period of three to six months. For this reason, wisely selecting diabetic patients might be crucial to decreasing the load of injections in clinics and hospitals. The purpose of this review is to analyze the available scientific literature to highlight the benefits, efficacy, and clinical criteria for choosing whether to switch from intravitreal anti-VEGF therapy to an intravitreal DEX implant in diabetic macular edema.