Dexamethasone (DEX) is the first drug to show life-saving efficacy in patients with severe coronavirus disease 2019 (COVID-19), while DEX is associated with serious adverse effects. Here, we report an inhaled, Self-immunoregulatory, Extracellular Nanovesicle-based Delivery (iSEND) system by engineering neutrophil nanovesicles with cholesterols to deliver DEX for enhanced treatment of COVID-19. Relying on surface chemokine and cytokine receptors, the iSEND showed improved targeting to macrophages and neutralized broad-spectrum cytokines. The nanoDEX, made by encapsulating DEX with the iSEND, efficiently promoted the anti-inflammation effect of DEX in an acute pneumonia mouse model and suppressed DEX-induced bone density reduction in an osteoporosis rat model. Relative to an intravenous administration of DEX at 0.1 milligram per kilogram, a 10-fold lower dose of nanoDEX administered by inhalation produced even better effects against lung inflammation and injury in severe acute respiratory syndrome coronavirus 2-challenged nonhuman primates. Our work presents a safe and robust inhalation delivery platform for COVID-19 and other respiratory diseases.