The development of novel bioactive biomaterials is urgently needed to meet the needs of an aging population. Both sulfated hyaluronic acid and dexamethasone are candidates for the functionalization of bone grafts, as they have been shown to enhance the differentiation of osteoblasts from bone marrow stromal cells in vitro and in vivo. However, the underlying mechanisms are not fully understood. Furthermore, studies combining different approaches to assess synergistic potentials are rare. In this study, we aim to gain insights into the mode of action of both sulfated hyaluronic acid and dexamethasone by a comprehensive analysis of the cellular fraction, released matrix vesicles, and the extracellular matrix, combining classical biochemical assays with mass spectrometry–based proteomics, supported by novel bioinformatical computations. We found elevated differentiation levels for both treatments, which were further enhanced by a combination of sulfated hyaluronic acid and dexamethasone. Single treatments revealed specific effects on osteogenic differentiation. Dexamethasone activates signalling pathways involved in the differentiation of osteoblasts, for example, CXC‐motif chemokine receptor type 4 and mitogen‐activated protein kinases. The effects of sulfated hyaluronic acid were predominantly linked to an alteration in the composition of the extracellular matrix, affecting the synthesis, secretion, and/or activity of fibrillary (fibronectin and thrombospondin‐2) and nonfibrillary (transglutaminase‐2, periostin, and lysyloxidase) extracellular matrix components, including proteases and their inhibitors (matrix metalloproteinase‐2, tissue inhibitor of metalloproteinase‐3). The effects were treatment specific, and less additive or contrary effects were found. Thus, we anticipate that the synergistic action of the treatment‐specific effects is the key driver in elevated osteogenesis.