Glucocorticoids are a class of steroid hormones that are endowed with profound anti-inflammatory and immunosuppressive activities. Endogenous glucocorticoids are key players in the modulation of the immune system and establish an endocrine basis of many inflammatory diseases. In addition, synthetic glucocorticoids are amongst the most commonly prescribed drugs worldwide for the treatment of autoimmune disorders. In this review we summarize our present knowledge on the mechanisms by which glucocorticoids impact on multiple sclerosis (MS), a highly prevalent neuroinflammatory disease, and its animal model experimental autoimmune encephalomyelitis (EAE). In spite of the new methodologies that have become available during recent years, we are still far from a comprehensive picture of the mechanism by which glucocorticoids control neuroinflammation.