The efficacy of glucocorticoids in COVID‐19 is unclear. This study was designed to determine whether systemic glucocorticoid treatment in COVID‐19 patients is associated with reduced mortality or mechanical ventilation. This observational study included 1,806 hospitalized COVID‐19 patients; 140 were treated with glucocorticoids within 48 hours of admission. Early use of glucocorticoids was not associated with mortality or mechanical ventilation. However, glucocorticoid treatment of patients with initial C‐reactive protein (CRP) ≥20 mg/dL was associated with significantly reduced risk of mortality or mechanical ventilation (odds ratio, 0.23; 95% CI, 0.08‐0.70), while glucocorticoid treatment of patients with CRP <10 mg/dL was associated with significantly increased risk of mortality or mechanical ventilation (OR, 2.64; 95% CI, 1.39‐5.03). Whether glucocorticoid treatment is associated with changes in mortality or mechanical ventilation in patients with high or low CRP needs study in prospective, randomized clinical trials.