Dexamethasone (Dex) and Dexamethasone phosphate (Dex-P) are synthetic glucocorticoids with high anti-inflammatory and immunosuppressive actions that gained visibility because they reduce the mortality in critical patients with COVID-19 connected to assisted breathing. They have been widely used for the treatment of several diseases and in patients under chronic treatments, thus, it is important to understand their interaction with membranes, the first barrier when these drugs get into the body. Here, the effect of Dex and Dex-P on dimyiristoylphophatidylcholine (DMPC) membranes were studied using Langmuir films and vesicles. Our results indicate that the presence of Dex in DMPC monolayers makes them more compressible and less reflective, induces the appearance of aggregates, and suppresses the Liquid Expanded/Liquid Condensed (LE/LC) phase transition. The phosphorylated drug, Dex-P, also induces the formation of aggregates in DMPC/Dex-P films, but without disturbing the LE/LC phase transition and reflectivity. Insertion experiments demonstrate that Dex induces larger changes in surface pressure than Dex-P, due to its higher hydrophobic character. Both drugs can penetrate membranes at high lipid packings. Vesicle shape fluctuation analysis shows that Dex-P adsorption on GUVs of DMPC decreases membrane deformability. In conclusion, both drugs can penetrate and alter the mechanical properties of DMPC membranes.