Glucocorticoids are widely used anti‐inflammatory and immunomodulatory agents, of which the action mechanism is mainly based on interference of hormone‐activated glucocorticoid receptor (GR) with the activity of transcription factors, such as nuclear factor‐κB (NF‐κB). In addition to the well described interaction‐based mutual repression mechanism between the GR and NF‐κB, additional mechanisms are at play, which help to explain the efficacy of glucocorticoid‐mediated gene repression. In this respect, we found that glucocorticoids counteract the recruitment of activated Mitogen‐ and Stress‐activated protein Kinase‐1 (MSK1) at inflammatory gene promoters resulting in the inhibition of NF‐κB p65 transactivation and of concurrent histone H3 phosphorylation. Additionally, we observed that activated GR can trigger redistribution of nuclear MSK1 to the cytoplasm through a CRM1‐dependent export mechanism, as a result of an interaction between liganded GR and activated MSK1. These findings unveil a novel aspect within the GR‐mediated NF‐κB‐targeting anti‐inflammatory mechanism.