Phenotypic differences between individuals and species are controlled in part through differences in expression of a relatively conserved set of genes. Genes expressed in the immune system are subject to especially powerful selection. We have investigated the evolution of both gene expression and candidate enhancers in human and mouse macrophages exposed to glucocorticoid (GC), a regulator of innate immunity and an important therapeutic agent. Our analyses revealed a very limited overlap in the repertoire of genes responsive to GC in human and mouse macrophages. Peaks of inducible binding of the GC receptor (GR) detected by chromatin immunoprecipitation-Seq correlated with induction, but not repression, of target genes in both species, occurred at distal regulatory sites not promoters, and were strongly enriched for the consensus GR-binding motif. Turnover of GR binding between mice and humans was associated with gain and loss of the motif. There was no detectable signal of positive selection at species-specific GR binding sites, but clear evidence of purifying selection at the small number of conserved sites. We conclude that enhancer divergence underlies the difference in transcriptional activation after GC treatment between mouse and human macrophages. Only the shared inducible loci show evidence of selection, and therefore these loci may be important for the subset of responses to GC that is shared between species.