Although neuroimmune interactions associated with the development of pain sensitization in models of neuropathic pain have been widely studied, there are some aspects that require further investigation. Thus, we aimed to evaluate whether the local intraneural or perineural injections of dexamethasone, an efficacious anti-inflammatory and immunosuppressant drug, delays the development of both thermal hyperalgesia and mechanical allodynia in an experimental model of neuropathic pain in rats. Hargreaves and electronic von Frey tests were applied. The chronic constriction injury (CCI) of right sciatic nerve was performed. Single intraneural dexamethasone administration at the moment of constriction delayed the development of sensitization for thermal hyperalgesia and mechanical allodynia. However, perineural administration of dexamethasone, at the highest dose, did not delay experimental pain development. These results show that inflammation/immune response at the site of nerve lesion is an essential trigger for the pathological changes that lead to both hyperalgesia and allodynia. In conclusion, this approach opens new opportunities to study cellular and molecular neuroimmune interactions associated with the development of pain derived from peripheral neuropathies.