Glucocorticoids (GC) are one of the most popular and versatile classes of drugs available to treat chronic inflammation and cancer, but side effects and resistance constrain their use. To overcome these hurdles, which are often related to the uniform tissue distribution of free GC and their short half-life in biological fluids, new delivery vehicles have been developed including PEGylated liposomes, polymeric micelles, polymer-drug conjugates, inorganic scaffolds, and hybrid nanoparticles. While each of these nanoformulations has individual drawbacks, they are often superior to free GC in many aspects including therapeutic efficacy when tested in cell culture or animal models. Successful application of nanomedicines has been demonstrated in various models of neuroinflammatory diseases, cancer, rheumatoid arthritis, and several other disorders. Moreover, investigations using human cells and first clinical trials raise the hope that the new delivery vehicles may have the potential to make GC therapies more tolerable, specific and efficient in the future.