Exogenous glucocorticoids (GCs) are used as anti-inflammatory and immunosuppressive drugs in the treatment of a wide range of rheumatic and other inflammatory diseases. GCs exert their immunosuppressive, anti-inflammatory and anti-allergic effects on primary and secondary immune cells, tissues and organs via different mechanisms of action in a dose-dependent manner. However, their pleiotropic effects also lead to numerous adverse effects such as unwanted metabolic effects and osteoporosis. The mechanisms of action include the classical genomic mechanism resulting from activation of the cytosolic glucocorticoid receptor (cGCR), non-specific, non-genomic effects caused by interactions with cellular membranes, secondary non-genomic effects initiated by the cGCR and specific interactions with a membrane-bound glucocorticoid receptor (mGCR). Optimised glucocorticoids, such as selective glucocorticoid receptor agonists, are being developed to minimise the adverse effects many patients experience, especially if GCs are given at higher dosages over longer periods of time. Immunostimulatory effects of low concentrations of endogenous glucocorticoids and the influence of pre-receptor metabolism appear of interest for further investigation. The most important approach to optimise the risk-benefit ratio of GCs is to understand in more detail how the molecular mechanisms of genomic and non-genomic GC actions - and their dose-dependency - mediate the clinically wanted benefits but also the known adverse effects.