Glucocorticoids (GCs) constitute one of the oldest families of anti-inflammatory and immunosuppressive drugs. Since their first clinical use more than half a century ago, they have been employed for therapeutic invention in a variety of conditions, including atopic disorders, autoimmune diseases, and cancer. Nevertheless, their exact mechanism of action is still incompletely understood. In this review, we elaborate especially on the mechanism of GCs in experimental autoimmune encephalomyelitis (EAE), a model of multiple sclerosis (MS), and summarize our current knowledge on how therapeutic and endogenous GCs impact the pathogenesis of EAE and MS. This includes findings obtained from genetically modified mice and rats lacking or overexpressing the GC receptor (GR) in specific cell types, and the analysis of new pharmaceutical formulations and chemical GC modifications aimed at improving treatment efficacy and specificity. Stimulated by these recent developments, it can be anticipated that novel therapeutic regimens will find their way into clinical practice for the benefit of affected patients.