The clinical benefits of using exogenous pulmonary surfactant (EPS) as a carrier of budesonide (BUD), a non-halogenated corticosteroid with a broad anti-inflammatory effect, have been established. Using various experimental techniques (differential scanning calorimetry DSC, small- and wide- angle X-ray scattering SAXS/WAXS, small- angle neutron scattering SANS, fluorescence spectroscopy, dynamic light scattering DLS, and zeta potential), we investigated the effect of BUD on the thermodynamics and structure of the clinically used EPS, Curosurf®. We show that BUD facilitates the Curosurf® phase transition from the gel to the fluid state, resulting in a decrease in the temperature of the main phase transition (Tm) and enthalpy (ΔH). The morphology of the Curosurf® dispersion is maintained for BUD < 10 wt% of the Curosurf® mass; BUD slightly increases the repeat distance d of the fluid lamellar phase in multilamellar vesicles (MLVs) resulting from the thickening of the lipid bilayer. The bilayer thickening (~0.23 nm) was derived from SANS data. The presence of ~2 mmol/L of Ca2+ maintains the effect and structure of the MLVs. The changes in the lateral pressure of the Curosurf® bilayer revealed that the intercalated BUD between the acyl chains of the surfactant’s lipid molecules resides deeper in the hydrophobic region when its content exceeds ~6 wt%. Our studies support the concept of a combined therapy utilising budesonide—enriched Curosurf®.