The sebaceous glands are microscopic exocrine glands in the skin that secrete an oily or waxy matter, called sebum, to lubricate and waterproof the skin and hair of mammals.ebaceous glands secrete the oily, waxy substance called sebum (Latin: fat, tallow) that is made of triglycerides, wax esters, squalene, and metabolites of fat-producing cells. Sebum waterproofs and lubricates the skin and hair of mammals.