Glucocorticoids potently inhibit expression of many inflammatory mediators, and have been widely used to treat both acute and chronic inflammatory diseases for more than seventy years. However, they can have several unwanted effects, amongst which immunosuppression is one of the most common. Here we used microarrays and proteomic approaches to characterise the effect of dexamethasone (a synthetic glucocorticoid) on the responses of primary mouse macrophages to a potent pro-inflammatory agonist, lipopolysaccharide (LPS). Gene ontology analysis revealed that dexamethasone strongly impaired the lipopolysaccharide-induced antimicrobial response, which is thought to be driven by an autocrine feedback loop involving the type I interferon IFNβ. Indeed, dexamethasone strongly and dose-dependently inhibited the expression of IFNβ by LPS-activated macrophages. Unbiased proteomic data also revealed an inhibitory effect of dexamethasone on the IFNβ-dependent program of gene expression, with strong down-regulation of several interferon-induced antimicrobial factors. Surprisingly, dexamethasone also inhibited the expression of several antimicrobial genes in response to direct stimulation of macrophages with IFNβ. We tested a number of hypotheses based on previous publications, but found that no single mechanism could account for more than a small fraction of the broad suppressive impact of dexamethasone on macrophage type I interferon signaling, underlining the complexity of this pathway. Preliminary experiments indicated that dexamethasone exerted similar inhibitory effects on primary human monocyte-derived or alveolar macrophages.