In this era of immune checkpoint inhibitors, inflammatory adverse events of anti-cancer therapies continue to pose a major challenge. Glucocorticoids, as the mainstay, were limited by serious side effects. Glucocorticoids induce myeloid-derived suppressor cells (MDSCs), and lactoferrin-induced polymorphonuclear MDSCs (PMN-MDSCs) were shown to relieve inflammatory conditions. Combined treatment with dexamethasone (DXM) and lactoferrin increased the generation of PMN-MDSCs in vitro (DXM/lactoferrin PMN-MDSCs) compared to DXM or lactoferrin treatment alone. DXM/lactoferrin PMN-MDSCs were distinct from tumor PMN-MDSCs in vivo with regard to gene expression profiles. DXM upregulated the myeloid cell response to lactoferrin by inducing the lactoferrin receptor Lrp1. DXM/lactoferrin PMN-MDSCs presented anti-bacterial capability, increased PGE2 production, increased survival capability, and decreased tumor tissue homing. Transfer of DXM/lactoferrin PMN-MDSCs relieved cisplatin-induced acute kidney failure, bleomycin-induced interstitial pneumonia, and allergic pneumonitis effectively without promoting tumor development. Our study shows that DXM/lactoferrin PMN-MDSCs are a promising cell therapy for inflammatory adverse events of anti-cancer therapies.