Glucocorticoids (GCs) are a pharmacological class of drugs widely used in oncology in both supportive and palliative settings. GCs differentially impact organs with immediate and long-term effects; with suppressive effect on the immune system anchoring their use to manage the toxicities of immune checkpoint inhibitors (ICIs). In addition, GCs are often used in the management of symptoms related to cancer or chemotherapy and as adjuvants in the treatment of pain in the management of other. In the palliative setting, GCs, especially administered subcutaneously can be to assist in the control of nausea, dyspnea, asthenia, and anorexia-cachexia syndrome. In this narrative review, we aim to summarize the role of GCs in the different settings (curative, supportive, and palliative) to help clinicians use these important drugs in their daily clinical practice with cancer patients.