The glucocorticoid receptor (GR) was one of the first nuclear hormone receptors cloned and represents one of the most effective drug targets available today for the treatment of severe inflammation. The physiologic consequences of endogenous or exogenous glucocorticoid excess are well established and include hyperglycemia, insulin resistance, fatty liver, obesity, and muscle wasting. However, at the molecular and tissue-specific level, there are still many unknown protein mediators of glucocorticoid response and thus, much remains to be uncovered that will help determine whether activation of the GR can be tailored to improve therapeutic efficacy while minimizing unwanted side effects. This review summarizes recent discoveries of tissue-selective modulators of glucocorticoid signaling that are important in mediating the unwanted side effects of therapeutic glucocorticoid use, emphasizing the downstream molecular effects of GR activation in the liver, adipose tissue, muscle, and pancreas.