Controlled delivery of corticosteroids to the skin and hair follicle using nanoparticles may reduce their side effects and maximize treatment effectiveness. To assess the quality of nanoparticles and estimate their in vivo performance, in vitro drug release measurement is one of the most important methods. Dexamethasone-loaded polymeric nanoparticles should be prepared, which adhere well to the skin and release the drug slowly, in a controlled manner. Additionally, sebum-responsive nanoparticles should be prepared, which are able to penetrate deep into the hair follicle and release the drug triggered by their dissolution in sebum. The discriminative power and reproducibility of three in vitro drug release methods for nanoparticles, namely dialysis bags, Franz diffusion cells and an in situ drug release method using Sirius® inForm apparatus should be assessed. The investigated nanoparticles were nanocrystals, polymeric nanoparticles and lipid nanoparticles. Dexamethasone-loaded ethyl cellulose, Eudragit® RS and ethyl cellulose/Eudragit® RS nanoparticles were prepared by the solvent evaporation method. Dexamethasone release from the polymeric nanoparticles was investigated in vitro using Franz diffusion cells. Drug penetration was assessed ex vivo using excised human skin. Follicular penetration of nanoparticles was investigated ex vivo using pig ear skin. Eudragit® RS nanoparticles were smaller and positively charged but had a lower dexamethasone loading capacity (0.3–0.7%) than ethyl cellulose nanoparticles (1.4–2.2%). By blending the two polymers (1:1), small (105 nm), positively charged (+37 mV) nanoparticles with sufficient dexamethasone loading (1.3%) were obtained. Dexamethasone release and penetration significantly decreased with decreasing drug to polymer ratio and increased when Eudragit® RS was blended with ethyl cellulose. Ex vivo, drug release and penetration from the nanoparticles was slower than a conventional cream. Ethyl cellulose dissolved fast in artificial sebum, whereas Eudragit® RS was insoluble. Artificial sebum increased the drug release from ethyl cellulose nanoparticles, whereas it reduced the drug release from Eudragit® RS nanoparticles indicating a sebum-responsive drug release from ethyl cellulose nanoparticles. The hair follicle penetration depth of Eudragit® RS (330 µm) and ethyl cellulose nanoparticles (380 µm) was comparable, but the fluorescence intensity inside the hair follicle was higher from Nile red-loaded ethyl cellulose nanoparticles compared to Eudragit® RS nanoparticles. In conclusion, the prepared nanoparticles showed great potential to control the release and penetration of corticosteroids on the skin and in the hair follicle to maximize treatment effectiveness. The comparison of the different in vitro drug release methods indicated that the methods differ in their discriminative power and reproducibility. The in situ measurement was a simple and fast method, but not adequately discriminating because of a too rapid drug dissolution/release. Franz diffusion cells and dialysis bags were in most cases discriminative for the different nanoparticles with the drug dissolution/release being in the order of nanocrystals > Eudragit® RS nanoparticles > lipid nanoparticles ≥ ethyl cellulose nanoparticles. However, drug release experiments with Franz diffusion cells had the highest reproducibility.