Glucocorticoid hormones are important regulators of several physiological processes. Despite having been initially named based on their role in glucose metabolism, glucocorticoids are also fundamental in the regulation of developmental, metabolic, and neurobiological processes, as well as several other biological functions. Due to their involvement in a diverse array of biological pathways, its wide spectrum of action, it is predicted that a wide range of genes may have their expression regulated by the activated glucocorticoid receptor (GR). In fact, it has been demonstrated that in addition to the regulation of several effectors genes, the expression of the gene encoding for GR itself is regulated by physiological stimuli and fine-tuning mechanisms. Importantly, such generalized effector responses and fine-tuning responses seem to be largely mediated by mechanisms of gene regulation. Therefore, this review aims to describe the mechanisms of gene regulation by glucocorticoid hormones, which are capable of regulating differential gene transcription, within a physiological context. From this discussion, we hope to shed light on how a single molecule that is capable of exerting such divergent effects is also capable of promoting such distinct responses in different target tissues.