The aim of this study was to develop the dexamethasone acetate loaded by cubosomes (DA-Cub) and its gel (DA-Cub gel) and improve the drug transdermal penetration and intradermal retention. Dexamethasone acetate cubosomes (DA-Cub) was prepared by hot melt ultrasonic method. The particle size was (110.8 ± 0.87) nm, zeta potential was (−25.9 ± 1.31) mV, and encapsulation efficiency was (97.97 ± 1.06)%. DA-Cub and its gel were characterized by polarizing microscope, transmission electron microscope, differential scanning calorimetry, fourier transform infrared spectroscopy and small-angle x-ray scattering. Both DA-Cub and its gels had sustained-release effect. The accumulation of DA-Cub and DA-Cub gel in rat skin in vitro increased significantly compared with general gels and commercial cream, so the intradermal retention of DA-Cub increased significantly. Compared with the commercial cream, DA-Cub provided higher penetration rate and intradermal retention. HE staining and reflectance fourier transform infrared spectroscopy were used to investigate the effect of transdermal administration of cubosomes on skin surface. DA-Cub and DA-Cub gel could make the cuticle thinner, change the structure of keratin and the intercellular space enlarged, thus promoting the penetration of drugs. DA-Cub has significant therapeutic effect and is expected to become a new low toxic and long-acting preparation.