The glucocorticoid receptor (GR) belongs to the superfamily of steroid receptors and is an important regulator of physiological and metabolic processes. In its inactive state, GR is unbound by ligand and resides in the cytoplasm in a chaperone complex. When it binds glucocorticoids, it is activated and translocates to the nucleus, where it functions as a transcription factor. However, the subcellular localization of GR is determined by the balance between its rates of nuclear import and export. The mechanism of GR nuclear transport has been extensively studied. Originally, it was believed that nuclear import of GR is initiated by dissociation of the chaperone complex in the cytoplasm. However, several studies show that the chaperone machinery is required for nuclear transport of GR. In this review, we summarize the contribution of various chaperone components involved in the nuclear transport of GR and propose an updated model of its nuclear import and export. Moreover, we review the importance of ligand-independent nuclear transport and compare the nuclear transport of GR with that of other steroid receptors.