Glucocorticoids (GCs) are steroid hormones that contribute to the regulation of many physiological processes, such as inflammation, metabolism and stress response, mainly through binding to their cognate receptor, GR, which works as a ligand-activated transcription factor. Due to their pleiotropy and the common medical use of these steroids to treat patients affected by different pathologies, the investigation of their mechanisms of action is extremely important in biology and clinical research. The evolutionary conservation of GCs’ physiological functions, biosynthesis pathways as well as sequence and structure of their nuclear receptor, in the last 20 years has stimulated the use of zebrafish (a teleost of Ciprinidae family) as a reliable model organism to investigate the topic. In this review, we wanted to collect many of the most important discoveries that the scientific community has obtained using zebrafish to study GCs and their receptors. The paper begins by describing the experiments with transient knockdown of zebrafish gr to gain information mainly during development and continues with the discoveries provided by the generation of transgenic reporter lines. Finally, we discuss how the generation of mutant lines for either gr or the enzymes involved in GCs’ synthesis has significantly advanced our knowledge on GCs’ biology.