Glucocorticoids remain the frontline treatment for inflammatory disorders, yet represent a double-edged sword with beneficial therapeutic actions alongside adverse effects, mainly in metabolic regulation. Considerable efforts were made to improve this balance by attempting to amplify therapeutic beneficial anti-inflammatory actions and to minimize adverse metabolic actions. Most attention has focused on the development of novel compounds favoring the transrepressing actions of the glucocorticoid receptor, assumed to be important for anti-inflammatory actions, over the transactivating actions, assumed to underpin the undesirable actions. These compounds are classified as selective glucocorticoid receptor agonists (SEGRAs) or selective glucocorticoid receptor modulators (SEGRMs). The latter class is able to modulate the activity of a GR agonist and/or may not classically bind the glucocorticoid receptor ligand-binding pocket. SEGRAs and SEGRMs are collectively denominated SEGRAMs (selective glucocorticoid receptor agonists and modulators). Although this transrepression vs transactivation concept proved to be too simplistic, the developed SEGRAMs were helpful in elucidating various molecular actions of the glucocorticoid receptor, but have also raised many novel questions. We discuss lessons learned from recent mechanistic studies of selective glucocorticoid receptor modulators. This is approached by analyzing recent experimental insights in comparison with knowledge obtained using mutant GR research, thus clarifying the current view on the SEGRAM field. These insights also contribute to our understanding of the processes controlling glucocorticoid-mediated side effects as well as glucocorticoid resistance. Our perspective on non-steroidal SEGRAs and SEGRMs considers remaining opportunities to address research gaps in order to harness the potential for more safe and effective glucocorticoid receptor therapies.