This study assessed the viability of glucocorticoid receptor agonist (GRA) treatment as an alternative to in-feed antibiotics (ANT) in wean-to-finish pigs. A total of 209 piglets were assigned to eight treatments based on a factorial arrangement, with GRA (+ vs. −; dexamethasone, 0.2 mg/kg body weight, BW), ANT (+ vs. −; 110 mg/kg in-feed Tylosin) and sex (gilt vs. barrow) as the main factors. The serial slaughter technique and serial blood collection were performed on 115 pigs during the first week post-weaning to collect blood, tissue and ileal digesta samples. Fecal samples were collected to determine energy digestibility. In comparison to ANT, GRA more effectively improved the measures of systemic inflammation, protein utilization and recovery-associated biomarkers (p ≤ 0.05). Relative to the control group, GRA treatment improved (p ≤ 0.03) dietary nutrient digestibility relative to control pigs, which was comparable to ANT effects. Relative to the control group, all groups had a higher ADG and BW during the starter phase (p < 0.01). Similar to the ANT group, GRA improved the gain-to-feed ratio relative to the control group during the starter phase. Relative to control pigs, overall BW was higher in GRA and ANT pigs during the grow-to-finish phase (p < 0.01). Collectively, these results suggest that GRA injection improves the growth performance of newly weaned pigs by reducing weaning-induced inflammation and improving nutrient digestibility. GRA can be used as an alternative to in-feed ANT to mitigate the effects of weaning stress on pigs.