In this study, a series of novel poly(2-hydroxyethyl methacrylate) (PHEMA)/poly(N,N′-dimethylacrylamide) (PDMAM) interpenetrating polymer networks (IPNs) were synthesized and studied as potential drug delivery systems of dexamethasone sodium phosphate (DXP) for dermal application. The IPN composition allows for control over its swelling ability as the incorporation of the highly hydrophilic PDMAM increases more than twice the IPN swelling ratio as compared to the PHEMA single networks, namely from ~0.5 to ~1.1. The increased swelling ratio of the IPNs results in an increased entrapment efficiency up to ~30% as well as an increased drug loading capacity of DXP up to 4.5%. X-ray diffraction (XRD) and differential scanning calorimetry (DSC) show the formation of a solid dispersion between the drug DXP and the polymer (IPNs) matrix. Energy-dispersive X-ray (EDX) spectroscopy shows an even distribution of DXP within the IPN structure. The DXP release follows Fickian diffusion with ~70% of DXP released in 24 h. This study demonstrates the potential of the newly developed IPNs for the dermal delivery of DXP.