Glucocorticoids exert a variety of immunomodulatory activities. Since changes in glucocorticoid homeostasis impact on susceptibility to autoimmune diseases, and synthetic glucocorticoids are widely used in the treatment of multiple sclerosis, a detailed understanding of their mechanism of action is desirable. Experimental autoimmune encephalomyelitis is a common animal model that mirrors many hallmarks of multiple sclerosis, a chronic inflammatory disease of the CNS with presumed autoimmune origin. Experimental autoimmune encephalomyelitis has been instrumental for many years in studying multiple sclerosis, revealing the blood-brain barrier, the microglia and T-cell apoptosis as major targets of glucocorticoids in this disease. Despite the great advances in the field, the answers to many questions concerning the mechanism of glucocorticoids; for example, the contribution of nongenomic effects or the cell-type specificity of their action, remain elusive. This review will critically discuss what we have learned so far from the analysis of animal models of the molecular mode of therapeutic and endogenous glucocorticoid action in multiple sclerosis. With this knowledge in mind, we should be able to further improve the management of multiple sclerosis using this class of drugs.