In an attempt to tune drug release and subsequent pharmacokinetics once administered intravenously, we have synthesized three lipid-drug conjugates (LDCs) of dexamethasone (DXM) each possessing a different lipid-drug chemical linkage: namely ester, carbamate and carbonate. These LDCs were thoroughly characterized before being turned into nanoscale particles by an emulsion-evaporation process using DSPE-PEG2000 (Distearoyl-sn-Glycero-3-Phosphoethanolamine-N-(methoxy(polyethylene glycol)-2000) as the only excipient. Spherical nanoparticles (NPs) of about 140–170 nm, with a negative zeta potential, were obtained for each LDC and exhibited good stability upon storage at 4 °C for 45 days with no recrystallization of LDCs observed. LDC encapsulation efficacy was above 95% for the three LDCs, leading to a LDC loading of about 90% and an equivalent DXM loading above 50%. Although the ester and carbonate NPs did not exhibit any toxicity up to an equivalent DXM concentration of 100 μg/mL, the carbamate LDC NPs appeared very toxic towards RAW 264.7 macrophages and were discarded. Both ester and carbonate LDC NPs were shown to exert anti-inflammatory activity on LPS-activated macrophages. DXM release from LDC NPs in murine plasma was faster from ester than from carbonate NPs. Finally, pharmacokinetics and biodistribution were conducted, showing a lower exposure to DXM from carbonate LDC NPs than from ester LDC NPs, correlated with the slower DXM release from carbonate LDC NPs. These results outline the need for extended studies to find the best prodrug system for extended drug release.