Dexamethasone (DEX) is the most commonly prescribed glucocorticoid (GC) and has a wide spectrum of pharmacological activity. However, steroid drugs like DEX can have severe side effects on non-target organs. One strategy to reduce these side effects is to develop targeted systems with the controlled release by conjugation to polymeric carriers. This review describes the methods available for the synthesis of DEX conjugates (carbodiimide chemistry, solid-phase synthesis, reversible addition fragmentation-chain transfer [RAFT] polymerization, click reactions, and 2-iminothiolane chemistry) and perspectives for their medical application as GC drug or gene delivery systems for anti-tumor therapy. Additionally, the review focuses on the development of DEX conjugates with different physical-chemical properties as successful delivery systems in the target organs such as eye, joint, kidney, and others. Finally, polymer conjugates with improved transfection activity in which DEX is used as a vector for gene delivery in the cell nucleus have been described.