The immune system must be tightly controlled not only to guarantee efficient protection from invading pathogens and oncogenic cells but also to avoid exaggerated immune responses and autoimmunity. This is achieved through interactions amongst leukocytes themselves, by signals from stromal cells and also by various hormones, including glucocorticoids. The glucocorticoids are a class of steroid hormones that exert a wide range of anti-inflammatory and immunosuppressive activities after binding to the glucocorticoid receptor. The power of these hormones was acknowledged many decades ago, and today synthetic derivatives are widely used in the treatment of inflammatory disorders, autoimmunity and cancer. In this review, we summarize our present knowledge of the molecular mechanisms of glucocorticoid action, their influence on specific leukocytes and the induction of thymocyte apoptosis, with an emphasis on how molecular genetics has contributed to our growing, although still incomplete, understanding of these processes.