A bidirectional communication exists between the CNS and the immune system. The autonomic nervous system, through neurotransmitters and neuropeptides, works in parallel with the hypothalamic-pituitary-adrenal axis through the actions of glucocorticoids to modulate inflammatory events. The immune system, through the action of cytokines and other factors, in turn, activates the CNS to orchestrate negative-feedback mechanisms that keep the immune response in check. Disruption of these interactions has been associated with a number of syndromes including inflammatory, autoimmune, and cardiovascular diseases, metabolic and psychiatric disorders, and the development of shock. The hypothalamic-pituitary-gonadal axis also plays an important part in regulating immunity through the secretion of sex hormones. Although numerous studies have established a role for immunomodulation by estrogen and testosterone, the role of progesterone is less well understood. Progesterone is crucial for reproductive organ development and maintenance of pregnancy, and more recent studies have clearly shown its role as an important immune regulator. The main focus of this review will be about the role of steroid hormones, specifically glucocorticoids and progesterone, in inflammatory responses and infectious diseases and how dysregulation of their actions may contribute to development of autoimmune and inflammatory disease.