Because of the lack of curative approaches for most patients with malignant brain tumors, supportive therapy, which aims at maintaining quality of life and functional independence, has a central role in the treatment of many patients. Steroids are particularly important in the setting of supportive therapy. They are commonly used to treat tumor-associated edema, and their administration is typically associated with rapid symptom relief, such as the resolution of headaches. Besides their antiedema activity, corticosteroids are characterized by their potent antilymphoma properties and their effects against acute or delayed emesis caused by systemic chemotherapy in cancer patients. Accordingly, steroids are among the most frequently used drugs in oncology. These desirable properties of steroids are counterbalanced by cardiovascular, muscular, and psychiatric side effects. On the cellular level, corticosteroids exert various effects that translate into the desired clinical activity, but they also evoke significant toxicity that may outweigh the beneficial effects. The mode of action and the limitations of steroid treatment are summarized in this review article. Interactions between steroids and other drugs must be considered. A particular challenge to the ongoing use of glucocorticoids is that newer therapeutic approaches are being introduced in neuro-oncology for which concomitant steroids are likely to be contraindicated. These include the emergence of various immunotherapeutic approaches including vaccination strategies and treatment with immune checkpoint inhibitors. Since the administration of steroids may interfere with the activity of these novel therapies, an even more critical evaluation of their use will be required.