The Authors Glucocorticoids such as dexamethasone are widely used immunomodulators. Combining proteomics, ChIP-seq, RNA-seq, and genetic loss-of-function studies in murine macrophages, Greulich et al. show that recruitment of the SETD1A/COMPASS complex to cis-regulatory elements by the glucocorticoid receptor mediates some of their anti-inflammatory actions.