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Abstract Objectives Systemic lupus erythematosus (SLE) is a chronic and severe autoimmune disease characterised by persistent inflammation. Hydroxychloroquine (HCQ) and glucocorticoids (GCs) are the primary agents commonly used in combination as the first‐line treatment for SLE. Nevertheless, the specific mechanisms responsible for the effectiveness of this combined therapy with HCQ and GCs have not been fully elucidated. This study aimed to reveal the mechanism behind combined HCQ and GC treatment in lupus. Methods An SLE IgG‐induced inflammation model was used to investigate the anti‐inflammatory effects of HCQ and dexamethasone (DXM). A glucocorticoid‐induced osteoporosis (GIOP) model was used to investigate the inhibitory effect of HCQ on osteoclastogenesis. Inflammation was assessed by haematoxylin and eosin staining. Bone metabolism was determined structurally via microcomputer tomography and in bone marrow‐derived osteoclast cultures. Results An SLE IgG‐induced inflammation model demonstrated that HCQ could not ameliorate inflammation alone but could enhance the anti‐inflammatory effect of GCs by decreasing the expression of FcγRI on macrophages. HCQ inhibited osteoclastogenesis induced by GCs and RANKL by upregulating nuclear factor erythroid 2‐related factor 2 and limiting reactive oxygen species formation, which mitigated GC‐induced bone loss. Conclusion The results indicate that HCQ improved the anti‐inflammatory effects of GCs and inhibits the osteoclastogenesis in experimental lupus. This study offers valuable insights into the mechanisms underlying the combined treatment of lupus with HCQ and GCs.