Glucocorticoid drugs are commonly used in the treatment of many acute and chronic inflammatory diseases. However, application of these steroids is limited because of their physico-chemical properties, such as very low water solubility. Glucocorticoids also exhibit serious adverse side effects. Therefore, new drug delivery systems are being developed, with the aim of improving the physicochemical properties of glucocorticoids while avoiding undesirable side effects associated with systemic administration. Here we discuss the design and synthesis of conjugates of prednisolone (PD), methylprednisolone (MPD) and similar glucocorticoids. In this review, possibilities for targeting inflammatory sites, and reducing dosages and administration frequency through increasing drug circulation time are discussed. This review summarises synthetic approaches for the preparation of covalent conjugates, which are divided into two groups: low molecular weight conjugates and polymeric conjugates. These two groups are further divided into subgroups based on the chemical structure of the conjugates. Published results from in vitro and in vivo testing of prepared conjugates are also discussed.