Glucocorticoids are potent immunosuppressive agents with complex actions on immune cells evoking the following effects: inducing apoptosis, changing differentiation fate, inhibition of cytokine release, inhibition of migration and other features. Distinct molecular mechanisms of the glucocorticoid receptor (GR) contribute to different anti-inflammatory effects. Recently inflammatory models have been investigated using conditional knockout and function selective mice shedding light on critical cell types and molecular mechanisms of endogenous and therapeutic GC actions. Here we review the multiple effects of GCs on major immune cells, dendritic cells, myeloid cells and B- and T-lymphocytes and give a summary of studies using conditional GR knockout mice.