Glucocorticoids (GCs), mostly dexamethasone (dex), are routinely administered as adjuvant therapy to manage side effects in breast cancer. However, recently, it has been revealed that dex triggers different effects and correlates with opposite outcomes depending on the breast cancer molecular subtype. This has raised new concerns regarding the generalized use of GC and suggested that the context-dependent effects of GCs can be taken into potential consideration during treatment design. Based on this, attention has recently been drawn to the role of the glucocorticoid receptor (GR) in development and progression of breast cancer. Therefore, in this comprehensive review, we aimed to summarize the different mechanisms behind different context-dependent GC actions in breast cancer by applying a multilevel examination, starting from the association of variants of the GR-encoding gene to expression at the mRNA and protein level of the receptor, and its interactions with other factors influencing GC action in breast cancer. The role of GCs in chemosensitivity and chemoresistance observed during breast cancer therapy is discussed. In addition, experiences using GC targeting therapeutic options (already used and investigated in preclinical and clinical trials), such as classic GC dexamethasone, selective glucocorticoid receptor agonists and modulators, the GC antagonist mifepristone, and GR coregulators, are also summarized. Evidence presented can aid a better understanding of the biology of context-dependent GC action that can lead to further advances in the personalized therapy of breast cancer by the evaluation of GR along with the conventional estrogen receptor (ER) and progesterone receptor (PR) in the routine diagnostic procedure.