Pain is one of the most frequent and most distressing symptoms in the course of cancer. The management of pain in cancer patients is based on the concept of the World Health Organization (WHO) analgesic ladder and was recently updated with the EAPC (European Association for Palliative Care) recommendations. Cancer pain may be relieved effectively with opioids administered alone or in combination with adjuvant analgesics. Corticosteroids are commonly used adjuvant analgesics and play an important role in neuropathic and bone pain treatment. However, in spite of the common use of corticosteroids, there is limited scientific evidence demonstrating their efficacy in cancer patients with pain. The use of corticosteroids in spinal cord compression, superior vena cava obstruction, raised intracranial pressure, and bowel obstruction is better established than in other nonspecific indications. This review aims to present the role of steroids in pain and management of other symptoms in cancer patients according to the available data, and discusses practical aspects of steroid use.