Dexamethasone, a widely used corticosteroid, has recently been reported as the first drug to increase the survival chances of patients with severe COVID-19. Therapeutic agents, including dexamethasone, are mostly transported through the body by binding to serum albumin. Herein, we report the first structure of serum albumin in complex with dexamethasone. We show that it binds to Drug Site 7, which is also the binding site for commonly used nonsteroidal anti-inflammatory drugs and testosterone, suggesting potentially problematic binding competition. This study bridges structural findings with our analysis of publicly available clinical data from Wuhan and suggests that an adjustment of dexamethasone regimen should be considered for patients affected by two major COVID-19 risk-factors: low albumin levels and diabetes.