Glucocorticoids are essential steroid hormones secreted from the adrenal gland in response to stress. Since their discovery in the 1940s, glucocorticoids have been widely prescribed to treat inflammatory disorders and hematological cancers. In the traditional view, glucocorticoids are regarded as anti-inflammatory molecules; however, emerging evidence suggests that glucocorticoid actions are more complex than previously anticipated. The anti-inflammatory activity of glucocorticoids is attributed to the repression of pro-inflammatory genes through signal transduction by their steroid receptor, the glucocorticoid receptor (GR). The mechanisms modulating the pro-inflammatory effects of glucocorticoids are not well understood. In this review, we discuss recent findings that provide insights into the mechanism by which GR signaling can play a dual role in the regulation of the immune response. We hypothesize that these apparently opposite processes are working together to prepare the immune system to respond to a stressor (pro-inflammatory effects) and subsequently restore homeostasis (anti-inflammatory effects). Finally, we propose that determining the mechanisms which underlie the tissue-specific effects of glucocorticoids will provide an excellent tool to develop more efficient and selective glucocorticoid therapies.