Coronavirus Disease 19 (COVID-19) is associated with high morbidity and mortality rates globally, representing the greatest health and economic challenge today. Several drugs are currently approved for the treatment of COVID-19. Among these, glucocorticoids (GCs) have received particular attention due to their anti-inflammatory and immunosuppressive effects. In fact, GC are widely used in current clinical practice to treat inflammatory, allergic and autoimmune diseases. Major mechanisms of GC action include inhibition of innate and adaptive immune activity. In particular, an important role is played by the inhibition of pro-inflammatory cytokines and chemokines, and the induction of proteins with anti-inflammatory activity. Overall, as indicated by various national and international regulatory agencies, GCs are recommended for the treatment of COVID-19 in patients requiring oxygen therapy, with or without mechanical ventilation. Regarding the use of GCs for the COVID-19 treatment of non-hospitalized patients at an early stage of the disease, many controversial studies have been reported and regulatory agencies have not recommended their use. The decision to start GC therapy should be based not only on the severity of COVID-19 disease, but also on careful considerations of the benefit/risk profile in individual patients, including monitoring of adverse events. In this review we summarize the effects of GCs on the major cellular and molecular components of the inflammatory/immune system, the benefits and the adverse common reactions in the treatment of inflammatory/autoimmune diseases, as well as in the management of COVID-19.