Objectives: We aimed to identify factors present at the start of an initial course of systemic dexamethasone that would be associated with successful extubation in mechanically ventilated neonates <30 weeks gestational age (GA) with or at risk of developing bronchopulmonary dysplasia (BPD). Methods: We studied a retrospective cohort of neonates (23+0−29+6 weeks GA), with or at risk of developing BPD, prescribed their first course of systemic dexamethasone to aid in extubation from mechanical ventilation. The data collected only pertained to the first course of dexamethasone. Neonates given dexamethasone for airway edema were not included. The primary outcome of interest was successful extubation (i.e., extubated within 14 days of starting dexamethasone and remaining extubated for at least 7 days). Binary logistic regression was employed. Results: A total of 287 neonates were included. Each additional week of GA at birth led to a 1.53 increase in the odds of successful extubation (95% CI: 1.122–2.096, p < 0.01). Higher average fraction of inspired oxygen (FiO2) requirements in the preceding 24 h resulted in a 0.94 decrease in the odds of successful extubation (p < 0.05) and higher mean airway pressure (MAP) resulted in 0.76 decrease in odds of successful extubation (p < 0.01). Conclusions: Mechanically ventilated neonates with or at risk of developing BPD, born at <30 week GA and initiated on dexamethasone to facilitate extubation, had a lower likelihood of successful extubation by Day 14 if they had younger GA at birth, and at the time of commencing steroids had higher MAPs and had higher oxygen requirements.