Glucocorticoids (GCs) are hormones that aid the body under stress by regulating glucose and free fatty acids. GCs maintain energy homeostasis in multiple tissues, including those in the liver and skeletal muscle, white adipose tissue (WAT), and brown adipose tissue (BAT). WAT stores energy as triglycerides, while BAT uses fatty acids for heat generation. The multiple genomic and non-genomic pathways in GC signaling vary with exposure duration, location (adipose tissue depot), and species. Genomic effects occur directly through the cytosolic GC receptor (GR), regulating the expression of proteins related to lipid metabolism, such as ATGL and HSL. Non-genomic effects act through mechanisms often independent of the cytosolic GR and happen shortly after GC exposure. Studying the effects of GCs on adipose tissue breakdown and generation (lipolysis and adipogenesis) leads to insights for treatment of adipose-related diseases, such as obesity, coronary disease, and cancer, but has led to controversy among researchers, largely due to the complexity of the process. This paper reviews the recent literature on the genomic and non-genomic effects of GCs on WAT and BAT lipolysis and proposes research to address the many gaps in knowledge related to GC activity and its effects on disease.