Previous studies in animals indicate that reproductive steroids are potent modulators of the hypothalamic-pituitary-adrenal (HPA) axis, a physiologic system that is typically dysregulated in affective disorders, such as major depression. Determination of the role of reproductive steroids in HPA axis regulation in humans is of importance when attempting to understand the pathophysiology of premenstrual syndrome (PMS), a disorder characterized by affective symptoms during the luteal phase of the menstrual cycle. We performed two studies using treadmill exercise stress testing to determine the effect of menstrual cycle phase and diagnosis on the HPA axis in women with PMS and controls and the role of gonadal steroids in HPA axis modulation in control women. The results of these studies indicate that women with PMS fail to show the normal increased HPA axis response to exercise during the luteal phase and that progesterone, not estradiol, produces increased HPA axis response to treadmill stress testing in control women. These data demonstrate that women with PMS, when symptomatic, appear to have an abnormal response to progesterone and, furthermore, do not display the HPA axis abnormalities characteristic of major depression.