Corticosteroids are widely used to treat a diversity of pathological conditions including allergic, autoimmune and some infectious diseases. These drugs have complex mechanisms of action involving both genomic and non-genomic mechanisms and interfere with different signal transduction pathways in the cell. The use of corticosteroids to treat critically ill patients with acute respiratory distress syndrome and severe infections, such as sepsis and pneumonia, is still a matter of intense debate in the scientific and medical community with evidence both for and against its use in these patients. Here, we review the basic molecular mechanisms important for corticosteroid action as well as current evidence for their use, or not, in septic patients. We also present an analysis of the reasons why this is still such a controversial point in the literature.