Steroids are useful in asthma and COPD exacerbations, which are lung problems. Pneumonia is a lung infection, so steroids might help there too right? Erm… no.
A double blind randomised controlled trial demonstrated no benefit from steroids (prednisolone) versus placebo in patients with community acquired pneumonia, and late therapaeutic failure (>72 h after admission) was more common in the prednisolone group.
Efficacy of Corticosteroids in Community-acquired Pneumonia: A Randomized Double-Blinded Clinical Trial
Am J Respir Crit Care Med. 2010 May 1;181(9):975-82