Glucocorticoids (GCs) are widely used immunomodulators. They regulate gene expression by binding and activating the Glucocorticoid Receptor (GR), but underlying transcriptional mechanisms remain enigmatic. This review summarizes recent findings identifyingspecific GR-bound DNA sequences whose configuration may affect transcriptional output. Additional factors affecting GR's anti-inflammatory actions, including different chromatin states such as DNAse hypersensitive regions and histone marks will be discussed, together with the relevant transcriptional co-regulators and promoter/enhancer features. Furthermore, the involvement of non-coding RNAs such as lncRNAs, miRNAs and eRNAs adds another level of regulation to the GR's transcriptional activity. Characterizing and understanding these multiple mechanisms will be crucial for developing more targeted immunomodulatory therapies with reduced adverse effects such as obesity, diabetes and osteoporosis.