Glucocorticoids (GCs) affect most physiological systems and are the most frequently used drugs for multiple disorders and organ transplantation. GC functions depend on a balance between circulating GC and cytoplasmic glucocorticoid receptor II (GR). Mitochondria individually enclose circular, double-stranded DNA that is expressed and replicated in response to nuclear-encoded factors imported from the cytoplasm. Fine-tuning and response to cellular demands should be coordinately regulated by the nucleus and mitochondria; thus mitochondrial–nuclear interaction is vital to optimal mitochondrial function. Elucidation of the direct and indirect effects of steroids, including GCs, on mitochondria is an important and emerging field of research. Mitochondria may also be under GC control because GRs are present in mitochondria, and glucocorticoid response elements (GREs) reside in the mitochondrial genome. Therefore, mitochondrial gene expression can be regulated by GCs via at least two different mechanisms: direct action on mitochondrial DNA and oxidative phosphorylation (OXPHOS) genes, or by an indirect effect through interaction with nuclear genes. In this review, we outline possible mechanisms of regulation of mitochondrial genes in response to GCs in view of translocation of the GR into mitochondria and the possible regulation of OXPHOS genes by GREs in the mitochondrial genome.