The currently recommended dose of dexamethasone for patients with severe or critical COVID-19 is 6 mg per day (mg/d) regardless of patient features and variation. However, patients with severe or critical COVID-19 are heterogenous in many ways (e.g., age, weight, comorbidities, disease severity, and immune features). Thus, it is conceivable that a standardized dosing protocol may not be optimal. We assessed treatment effect heterogeneity in the COVID STEROID 2 trial, which compared 6 mg/d to 12 mg/d, using a causal inference framework with Bayesian Additive Regression Trees, a flexible modeling method that detects interactive effects and nonlinear relationships among multiple patient characteristics simultaneously. We found that 12 mg/d of dexamethasone, relative to 6 mg/d, was probably associated with better long-term outcomes (days alive without life support and mortality after 90 days) among the entire trial population (i.e., no signals of harm), and probably more beneficial among those without diabetes mellitus, that were older, were not using IL-6 inhibitors at baseline, weighed less, or had higher level respiratory support at baseline. This adds more evidence supporting the use of 12 mg/d in practice for most patients not receiving other immunosuppressants and that additional study of dosing could potentially optimize clinical outcomes.