Objective Steroids are used in cases of sepsis, especially in patients experiencing septic shock. However, clinical trials to date have reported contradictory results. Different patient endotypes and variations in the type and dose of steroid may be at fault for this discrepancy, and further investigation is warranted. In this paper, we propose a new DEXA-SEPSIS study design. Methods We plan to conduct a multicenter, double-blinded randomized pilot study (DEXA-SEPSIS) investigating the feasibility and safety of early use of dexamethasone in sepsis. Participants will be high-risk septic patients presenting to the emergency department with a systolic blood pressure of < 90 mmHg or serum lactate level of > 2 mmol/L. Participants will be randomized to the following three groups: control, 0.1 mg/kg of dexamethasone, or 0.2 mg/kg of dexamethasone per day for 1 to 2 days. The primary outcome will be 28-day mortality. Secondary outcomes will include time to septic shock, shock reversal, additional steroid administration, number of ventilator-free days, use of continuous renal-replacement therapy, length of stay in the intensive care unit and/or hospital, delta Sequential Organ Failure Assessment score on days 3 and 7, superinfection, gastrointestinal bleeding, hypernatremia, and hyperglycemia. Discussion The DEXA-SEPSIS study will provide insight regarding the feasibility and safety of early use of dexamethasone in high-risk sepsis. The results could provide data to design a future phase III study.