The unique variability in the 5' region of the GR gene, with 9 alternative first exons and 13 splice variants plays a critical role in transcriptional control maintaining homeostasis of the glucocorticoid receptor (GR). This 5'm RNA heterogeneity, common to all species investigated, remains untranslated since the alternative first exons are spliced to exon 2 immediately upstream of the translation initiation codon. These alternative first exons are located either immediately upstream of the coding exons in the CpG island (exons B-H and J), or further upstream (exons 1A and 1I). The mechanisms regulating the differential usage of these first exons in different tissues and individuals, and the role of the 5' UTR in the splicing of the coding exons are still poorly understood. Here we review some of the mechanisms that have so far been identified. Data from our laboratory and others have shown that the multiple first exons represent only a first layer of complexity orchestrated probably by tissue-specific transcription factors. Modulation of alternative first exon activity by epigenetic methylation of their promoters represents a second layer of complexity at least partially controlled by perinatal programming. The alternative promoter usage also appears to affect the 3' splicing generating the different GR coding variants, GRα, GRβ, and GR-P. Aberrant GR levels are associated with stress-related disorders such as depression, and affect social behaviour, mood, learning and memory. Dissecting how tissue-specific GR levels are regulated, in particular in the brain, is a first step to understand the significance of aberrant GR levels in disease and behaviour.