Background: Perineural dexamethasone has been regarded as a promising adjunct for prolonging the duration of nerve blocks. However, it is uncertain whether its effects are due to local effects on the nerves or from systemic absorption. This systematic review aimed to compare the duration of postoperative analgesia associated with perineural versus intravenous dexamethasone as an adjunct to peripheral nerve blocks. Methods: A total of 2,216 relevant academic articles were identified after a comprehensive search of PubMed, Embase, Scopus, Cochrane Central Register of Controlled Trials, and ClinicalTrials.gov from 1967 until 2020. All randomized controlled trials that compared perineural and intravenous dexamethasone as adjuncts to peripheral nerve limb blocks were included. Results: Fifteen randomized controlled trials (1,467 cases; 738 perineural dexamethasone, 729 intravenous dexamethasone) were eligible. The primary outcome (duration of analgesia) was significantly longer in the perineural than in the intravenous dexamethasone group (mean difference [MD]: 2.72 h, 95% CI [1.42, 4.01], P < 0.001). Perineural dexamethasone was also found to prolong the sensory block (MD: 3.45 h, 95% CI [1.36, 5.54], P = 0.001) and lower 24 h postoperative pain scores (MD: −0.74 h, 95% CI [−1.40, −0.07], P = 0.03). Conclusions This review confirms the greater efficacy of perineural compared to intravenous dexamethasone in prolonging the analgesic duration of peripheral nerve blocks. However, the extent of prolongation was small and may not represent a clinically meaningful difference.