The glucocorticoid receptor is a known regulator of a variety of physiological processes. Its mode of action is well defined: upon hormone binding, it undergoes a conformational change, translocates to the nucleus and modulates the transcription of target genes. Molecular chaperones have a widely recognized role in the folding of newly made proteins, but their participation in further maturation of folded proteins to their active states and beyond tends to be underestimated. This review presents the current knowledge on how the Hsp70 and Hsp90 chaperone machines help to shape the responses to glucocorticoids. We discuss the contributions of these molecular chaperones to folding, activation, intracellular transport, transcriptional regulation, and decay of the glucocorticoid receptor.