Glucocorticoids (GCs) are endogenous hormones that are crucial for the homeostasis of the organism and adaptation to the external environment. Because of their anti-inflammatory effects, synthetic GCs are also extensively used in clinical practice. However, almost all cells in the body are sensitive to GC regulation. As a result, these mediators have pleiotropic effects, which may be undesirable or detrimental to human health. Here, we summarize the recent findings that contribute to deciphering the molecular mechanisms downstream of glucocorticoid receptor activation. We also discuss the complex role of GCs in infectious diseases such as sepsis and COVID-19, in which the balance between pathogen elimination and protection against excessive inflammation and immunopathology needs to be tightly regulated. An understanding of the cell type- and context-specific actions of GCs from the molecular to the organismal level would help to optimize their therapeutic use.