The objective of this study was to develop two lipid nanoparticle (LNP) formulations capable of efficiently expressing a reporter mRNA while co-delivering the anti-inflammatory drug dexamethasone (DX) to reduce inflammatory side effects in protein replacement therapies. Two types of LNPs were developed, in which 25% of cholesterol was replaced by DX. These LNPs contained either 1,2-distearoyl-sn-glycero-3-phosphocholine (DSPC) or 1,2-dioleoyl-sn-glycero-3-phosphoethanolamine (DOPE) as a helper lipid. The resulting LNPs exhibited high stability, homogeneity, and near-neutral Zeta potentials. SAXS experiments confirmed DX incorporation into the LNP core, with slow in vitro DX release observed over 48 h. The LNPs achieved high mRNA encapsulation efficiency (95–100%) and effectively transfected HepG2 cells, dendritic cells, and hPBMCs. While LNPs increased cytokine release (IL-1β, TNF-α, MCP-1), LNPs-DX significantly reduced cytokine levels, demonstrating enhanced anti-inflammatory properties while maintaining mRNA expression levels. In vivo biodistribution showed predominant liver localization post-intramuscular injection, regardless of the DSPC or DOPE composition. LNPs co-loaded with mRNA and DX are promising candidates for continuous protein replacement. Due to their ability to reduce treatment-related inflammation while maintaining significant mRNA expression levels, these LNPs are perfectly suited for the treatment of liver-related metabolic diseases.