Background Prematurity is the highest risk for under-five mortality globally. The aim of the study was to assess the effect of antenatal dexamethasone on neonatal mortality in early preterm in a resource-constrained setting without assisted ventilation. Methods This retrospective (2008-2013) cohort study in clinics for refugees/migrants on the Thai-Myanmar border included infants born <34 weeks gestation at home, in, or on the way to the clinic. Dexamethasone, 24 mg (three 8 mg intramuscular doses, every 8 hours), was prescribed to women at risk of preterm birth (28 to <34 weeks). Appropriate newborn care was available: including oxygen but not assisted ventilation. Mortality and maternal fever were compared by the number of doses (complete: three, incomplete (one or two), or no dose). A sub-cohort participated in neurodevelopmental testing at one year. Results Of 15,285 singleton births, 240 were included: 96 did not receive dexamethasone and 144 received one, two or three doses (56, 13 and 75, respectively). Of live-born infants followed to day 28, (n=168), early neonatal and neonatal mortality/1,000 livebirths (95%CI) with complete dosing was 217 (121–358) and 304 (190–449); compared to 394 (289–511) and 521 (407–633) with no dose. Compared to complete dosing, both incomplete and no dexamethasone were associated with elevated adjusted ORs 4.09 (1.39 to 12.00) and 3.13 (1.14 to 8.63), for early neonatal death. By contrast, for neonatal death, while there was clear evidence that no dosing was associated with higher mortality, adjusted OR 3.82 (1.42 to 10.27), the benefit of incomplete dosing was uncertain adjusted OR 1.75 (0.63 to 4.81). No adverse impact of dexamethasone on infant neurodevelopmental scores (12 months) or maternal fever was observed. Conclusions Neonatal mortality reduction is possible with complete dexamethasone dosing in pregnancies at risk of preterm birth in settings without capacity to provide assisted ventilation.