The targeted design of nanoparticles for efficient drug loading and defined release profiles is even after 25 years of research on lipid-based nanoparticles still no routine procedure. It requires detailed knowledge about the interaction of the drug with the lipid compounds and about its localisation and distribution in the nanoparticle. We present here an investigation on nano-sized lipid particles (NLP) composed of Gelucire and Witepsol as solid lipids, and Capryol as liquid lipid, loaded with Dexamethasone, a glucocorticoid used in topical treatment of inflammatory dermal diseases. The interactions of Dexamethasone, which was spin-labelled by 3-(Carboxy)-2,2,5,5-tetramethyl-1-pyrrolidinyloxy (DxPCA), with its microenvironment are monitored by EPR spectroscopy at 94 GHz at low temperatures. The mobility of the spin-labelled drug was probed by X-band EPR at room temperature. In order to relate the magnetic and dynamic parameters deduced from EPR to the local environment of the spin probe in the NLP, investigations of DxPCA in the individual lipid compounds were carried out. The magnetic parameters reflecting the polarity of DxPCA’s environment as well as the parameters describing the mobility of the drug reveal that in the case of colloidal dispersions of the lipids and also the NLP DxPCA is attached to the surface of the nanoparticles. Although the lipophilic drug is almost exclusively associated with the NLP in aqueous solution, dilution experiments show, that it can be easily released from the nanoparticle.