Background: Thromboembolism is more common in patients with critical COVID-19 than in other critically ill patients, and inflammation has been proposed as a possible mechanism. The aim of this study was to investigate if 12 mg vs. 6 mg dexamethasone daily reduced the composite outcome of death or thromboembolism in patients with critical COVID-19. Methods: Using additional data on thromboembolism and bleeding we did a post hoc analysis of Swedish and Danish intensive care unit patients enrolled in the blinded randomized COVID STEROID 2 trial comparing 12 mg vs. 6 mg dexamethasone daily for up to 10 days. The primary outcome was a composite outcome of death or thromboembolism during intensive care. Secondary outcomes were thromboembolism, major bleeding, and any bleeding during intensive care. Results: We included 357 patients. Whilst in intensive care, 53 patients (29%) in the 12 mg group and 53 patients (30%) in the 6 mg group met the primary outcome with an unadjusted absolute risk difference of − 0.5% (95% CI − 10 to 9.5%, p = 1.00) and an adjusted OR of 0.93 (CI 95% 0.58 to 1.49, p = 0.77). We found no firm evidence of differences in any of the secondary outcomes. Conclusions: Among patients with critical COVID-19, 12 mg vs. 6 mg dexamethasone daily did not result in a statistically significant difference in the composite outcome of death or thromboembolism. However, uncertainty remains due to the limited number of patients.