Breast cancer (BC) is one of the most common cancers in women worldwide. Even though the role of estrogen receptor alpha (ERα) is extensively documented in the development of breast tumors, other members of the nuclear receptor family have emerged as important players. Synthetic glucocorticoids (GCs) such as dexamethasone (dex) are commonly used in BC for their antiemetic, anti-inflammatory, as well as energy and appetite stimulating properties, and to manage the side effects of chemotherapy. However, dex triggers different effects depending on the BC subtype. The glucocorticoid receptor (GR) is also an important marker in BC, as high GR expression is correlated with a poor and good prognosis in ERα-negative and ERα-positive BCs, respectively. Indeed, though it drives the expression of pro-tumorigenic genes in ERα-negative BCs and is involved in resistance to chemotherapy and metastasis formation, dex inhibits estrogen-mediated cell proliferation in ERα-positive BCs. Recently, a new natural ligand for GR called OCDO was identified. OCDO is a cholesterol metabolite with oncogenic properties, triggering mammary cell proliferation in vitro and in vivo. In this review, we summarize recent data on GR signaling and its involvement in tumoral breast tissue, via its different ligands.