We present non-LTE analyses of four M33 early B supergiant stars and five Galactic counterparts. This is the first time that B supergiants beyond the Magellanic Clouds are analyzed by means of detailed non-LTE techniques. Among the M33 stars, new spectroscopic observations of B38 (ob21-108) are presented and the object is classified as B1 Ia. The classification of another M33 star, B133, is changed with respect to a former study. Equivalent widths of O and Si lines are measured for the M33 objects. Stellar temperatures, gravities, microturbulences, and Si abundances are derived for all objects using the Si ionization equilibrium and the Balmer line wings. O abundances are then also derived. Important approximations made during the calculations are described, and their influence on the results is analyzed (namely, we set the Lyman resonance lines in detailed balance during the calculation of the atmospheric structure for stars cooler than 20,000 K, and we set the Si III resonance lines in detailed balance during the line formation calculations for all models). It is found that these approximations have no significant effect on the results at any microturbulence. We found a difference in the derived temperatures of the earlier Galactic stars as compared to those obtained by other authors, which we attribute to the different lines used for their derivation. A difference can also be present in the results when using the Si II/Si III and the Si III/Si IV ionization equilibria. We conclude that a strict differential analysis is needed to detect abundance differences. Thus, we compare results line by line in M33 and Galactic stars of stellar parameters as similar as possible. Three of the four M33 stars turned out to be O deficient as compared to their Galactic counterparts, and only one, close to the center of M33 (M33 1054), is found to be moderately O enriched. From these differential analyses we find that our data are compatible with a radial O gradient in M33 as that derived from H II region data: we obtain -0.19+/-0.13 or -0.20+/-0.07 dex kpc-1, depending on whether B133 is included or not. Our data are also consistent with other possibilities such as a steep increase of the O abundance in the inner region (at projected distances less than 9' from the center of M33), followed by a flat O abundance profile toward the outer parts of M33. Si shows the same pattern, and it is shown that Si and O correlate well, as expected for α-elements, supporting then the high value of the O abundance gradient in M33 as compared to the Milky Way and other nearby spiral galaxies. The results are compared with those of a more approximate technique, and it is concluded that this last can be used, attention being drawn to certain problems that are indicated. As an important additional point, it is shown that M33 1054 is most probably a single object, in spite of the bright absolute magnitude found in the literature.