Chronic inflammation has been proposed to contribute to the pathogenesis of diet-induced obesity. However, scarce therapeutic options are available to treat obesity and the associated immunometabolic complications. Glucocorticoids are routinely employed for the management of inflammatory diseases, but their pleiotropic nature leads to detrimental metabolic side effects. We developed a glucagon-like peptide-1 (GLP-1)-dexamethasone co-agonist in which GLP-1 selectively delivers dexamethasone to GLP-1 receptor-expressing cells. GLP-1-dexamethasone lowers body weight up to 25% in obese mice by targeting the hypothalamic control of feeding and by increasing energy expenditure. This strategy reverses hypothalamic and systemic inflammation while improving glucose tolerance and insulin sensitivity. The selective preference for GLP-1 receptor bypasses deleterious effects of dexamethasone on glucose handling, bone integrity, and hypothalamus-pituitary-adrenal axis activity. Thus, GLP-1-directed glucocorticoid pharmacology represents a safe and efficacious therapy option for diet-induced immunometabolic derangements and the resulting obesity.