The glucocorticoid (GC) steroid dexamethasone (Dex) is used as a supportive care co-medication for cancer patients undergoing standard care pemetrexed/platinum doublet chemotherapy. As trials for new cancer immunotherapy treatments increase in prevalence, it is important to track the immunological changes induced by co-medications commonly used in the clinic, but not specifically included in trial design or in pre-clinical models. Here, we document a number of Dex -induced immunological effects, including a large-scale lymphodepletive effect particularly affecting CD4+ T cells but also CD8+ T cells. The proportion of regulatory T cells within the CD4+ compartment did not change after Dex was administered, however a significant increase in proliferation and activation of regulatory T cells was observed. We also noted Dex -induced proportional changes in dendritic cell (DC) subtypes. We discuss these immunological effects in the context of chemoimmunotherapy strategies, and suggest a number of considerations to be taken into account when designing future studies where Dex and other GCs may be in use.