Glucocorticoids remain part of the treatment strategy in many rheumatic diseases, because of their anti-inflammatory and immunosuppressive actions. Unfortunately, their clinically desired effects are linked to adverse effects, especially at higher dosages and longer duration of treatment. In this review, we describe new insights into the mechanisms of anti-inflammatory glucocorticoid actions and provide an update on recent approaches to improve the risk/benefit ratio of glucocorticoid therapy. Improved knowledge of the immunomodulatory role of endogenous glucocorticoids has evolved, and we report on the therapeutic potential of targeting glucocorticoid pre-receptor metabolism for metabolic and inflammatory diseases.