Recent studies on coronavirus infectious disease 2019 (COVID-19) pathophysiology indicated the cytokine release syndrome induced by the virus as the main cause of mortality. Patients with severe COVID-19 infection present a systemic hyper inflammation that can lead to lung and multi-organ injuries. Among the most recent treatments, corticosteroids have been identified to be effective in mitigating these catastrophic effects. Our group has recently developed leukocyte-derived nanovesicles, termed leukosomes, able to target in vivo the inflamed vasculature associated with pathological conditions including cancer, cardiovascular diseases, and sepsis. Herein, to gain insights on the anti-inflammatory properties of leukosomes, we investigated their ability to reduce uncontrolled inflammation in a lethal model of lipopolysaccharide (LPS)-induced endotoxemia, recapitulating the cytokine storm syndrome observed in COVID-19 infection after encapsulating dexamethasone. Treated animals showed a significant survival advantage and an improved immune response resolution, as demonstrated by a cytokine array analysis of pro- and anti-inflammatory cytokines, chemokines, and other immune-relevant markers. Our results showed that leukosomes enhance the therapeutic activity of dexamethasone and better control the inflammatory response compared to the free drug. Such an approach could be useful for the development of personalized therapies in the treatment of hyperinflammation related to infectious diseases, including the ones caused by COVID-19.