Glucocorticoid synthesis is a complex, multistep process that starts with cholesterol being delivered to the inner membrane of mitochondria by StAR and StAR-related proteins. Here its side chain is cleaved by CYP11A1 producing pregnenolone. Pregnenolone is converted to cortisol by the enzymes 3-βHSD, CYP17A1, CYP21A2, and CYP11B1. Glucocorticoids play a critical role in the regulation of the immune system and exert their action through the glucocorticoid receptor (GR). Although corticosteroids are primarily produced in the adrenal gland, they can also be produced in a number of extra-adrenal tissue including the immune system, skin, brain, and intestine. Glucocorticoid production is regulated by ACTH, CRH, and cytokines such as IL-1, IL-6, and TNFα. The bioavailability of cortisol is also dependent on its interconversion to cortisone, which is inactive, by 11βHSD1/2. Local and systemic glucocorticoid biosynthesis can be stimulated by ultraviolet B, explaining its immunosuppressive activity. In this review, we want to emphasize that dysregulation of extra-adrenal glucocorticoid production can play a key role in a variety of autoimmune diseases including multiple sclerosis (MS), lupus erythematosus (LE), rheumatoid arthritis (RA), and skin inflammatory disorders such as psoriasis and atopic dermatitis (AD). Further research on local glucocorticoid production and its bioavailability may open doors into new therapies for autoimmune diseases.