The molecular interaction between hormonal and cytokine signals is crucial for providing specificity to their actions and represents a key step for understanding, at the molecular level, the ultimate response of physiological neuroendocrine-immune interactions. In this article we will describe new insights into the mechanisms underlying glucocorticoid-mediated anti-inflammatory action, focused on the regulation of immune–cytokine pathways. There are different levels of interaction between intracellular signals elicited by glucocorticoids and cytokines, with the final outcome being regulation of gene expression. One such interaction involves the molecular cross-talk between the activated glucocorticoid receptor (GR) and transcription factors implicated in the regulation of cytokine synthesis and function. This interaction results in the regulation of gene transcription, as we will illustrate with the helper T (Th)1 and Th2 transcription factors T-bet and GATA-3, respectively, implicated in the outcome of specific adaptive immune responses. A further level of mutual regulation is the posttranslational modification of GR by the ubiquitin–proteasome and sumoylation systems. These posttranslational modifications regulate GR activity and will be discussed for the small ubiquitin-related modifier (SUMO) pathway and its enhancer RWD RING finger-containing proteins, WD-repeat-containing proteins, and yeast DEAD (DEXD)-like helicases-containing sumoylation enhancer (RSUME). The impact of posttranslational modifications on inflammatory pathways, such as nuclear factor-κβ and regulated cytokines, will also be discussed.