Glucocorticoids are powerful modulators of brain function. They act via mineralocorticoid and glucocorticoid receptors (MR and GR). These are best understood as transcription factors. Although many glucocorticoid effects depend on the modulation of gene transcription, it is a major challenge to link gene expression to function given the large‐scale, apparently pleiotropic genomic responses. The extensive sets of MR and GR target genes are highly specific per cell type, and the brain contains many different (neuronal and non‐neuronal) cell types. Next to the set “trait” of cellular context, the “state” of other active signaling pathways will affect MR and GR transcriptional activity. Here, we discuss receptor specificity and contextual factors that determine the transcriptional outcome of MR/GR signaling, experimental possibilities offered by single‐cell transcriptomics approaches, and reflect on how to make sense of lists of target genes in relation to understanding the functional effects of steroid receptor activation. Glucocorticoid hormones affect the brain in the context of stress, medical treatment and disease. They have massive effects on gene expression in many different neuronal and non‐neuronal cell types in the brain. We discuss challenges and possible solutions in identifying those target genes that are responsible for particular adaptive, pathogenic of therapeutic effects.