Approximately 15 million babies worldwide are born premature, and complications of prematurity are one of the leading causes of death in neonates. Neonatal respiratory distress syndrome (NRDS) and bronchopulmonary dysplasia (BPD) are two of the most common and serious consequences of prematurity. Synthetic corticosteroids, including dexamethasone, have been central in efforts to treat and prevent BPD. There is strong evidence to show that prenatal corticosteroids reduce infant mortality and the incidence of NRDS, leading to their widespread use in obstetric units. However, data suggest that they are not as effective in reducing the incidence of BPD as NRDS, which may be due to the multifactorial pathogenesis of BPD. On the other hand, the use of postnatal corticosteroids in preterm infants is much more controversial. They have been shown to improve lung function and help in reducing the need for mechanical ventilation. These benefits, however, are associated with a range of adverse short- and long-term effects. This review will discuss the benefits and consequences of corticosteroids in treating BPD and will examine alternative treatments and future research that may improve the understanding of BPD and inform clinical practice.