Glucocorticoids regulate fundamental processes of the human body and control cellular functions such as cell metabolism, growth, differentiation, and apoptosis. Moreover, endogenous glucocorticoids link the endocrine and immune system and ensure the correct function of inflammatory events during tissue repair, regeneration, and pathogen elimination via genomic and rapid non-genomic pathways. Due to their strong immunosuppressive, anti-inflammatory and anti-allergic effects on immune cells, tissues and organs, glucocorticoids significantly improve the quality of life of many patients suffering from diseases caused by a dysregulated immune system. Despite the multitude and seriousness of glucocorticoid-related adverse events including diabetes mellitus, osteoporosis and infections, these agents remain indispensable, representing the most powerful, and cost-effective drugs in the treatment of a wide range of rheumatic diseases. These include rheumatoid arthritis, vasculitis, and connective tissue diseases, as well as many other pathological conditions of the immune system. Depending on the therapeutically affected cell type, glucocorticoid actions strongly vary among different diseases. While immune responses always represent complex reactions involving different cells and cellular processes, specific immune cell populations with key responsibilities driving the pathological mechanisms can be identified for certain autoimmune diseases. In this review, we will focus on the mechanisms of action of glucocorticoids on various leukocyte populations, exemplarily portraying different autoimmune diseases as heterogeneous targets of glucocorticoid actions: (i) Abnormalities in the innate immune response play a crucial role in the initiation and perpetuation of giant cell arteritis (GCA). (ii) Specific types of CD4+ T helper (Th) lymphocytes, namely Th1 and Th17 cells, represent important players in the establishment and course of rheumatoid arthritis (RA), whereas (iii) B cells have emerged as central players in systemic lupus erythematosus (SLE). (iv) Allergic reactions are mainly triggered by several different cytokines released by activated Th2 lymphocytes. Using these examples, we aim to illustrate the versatile modulating effects of glucocorticoids on the immune system. In contrast, in the treatment of lymphoproliferative disorders the pro-apoptotic action of glucocorticoids prevails, but their mechanisms differ depending on the type of cancer. Therefore, we will also give a brief insight into the current knowledge of the mode of glucocorticoid action in oncological treatment focusing on leukemia.