Background: Corticosteroids improve outcomes in patients with severe COVID-19. In the COVID STEROID 2 randomised clinical trial, we found high probabilities of benefit with dexamethasone 12 versus 6 mg daily. While no statistically significant heterogeneity in treatment effects (HTE) was found in the conventional, dichotomous subgroup analyses, these analyses have limitations, and HTE could still exist. Methods: We assessed whether HTE was present for days alive without life support and mortality at Day 90 in the trial according to baseline age, weight, number of comorbidities, category of respiratory failure (type of respiratory support system and oxygen requirements) and predicted risk of mortality using an internal prediction model. We used flexible models for continuous variables and logistic regressions for categorical variables without dichotomisation of the baseline variables of interest. HTE was assessed both visually and with p and S values from likelihood ratio tests. Results: There was no strong evidence for substantial HTE on either outcome according to any of the baseline variables assessed with all p values >.37 (and all S values <1.43) in the planned analyses and no convincingly strong visual indications of HTE. Conclusions: We found no strong evidence for HTE with 12 versus 6 mg dexamethasone daily on days alive without life support or mortality at Day 90 in patients with COVID-19 and severe hypoxaemia, although these results cannot rule out HTE either.