Hormonal fluctuations across the menstrual cycle are thought to play a central role in premenstrual mood symptoms. In agreement, fluctuations in gonadal hormone levels affect brain processes in regions involved in emotion regulation. Recent findings, however, implicate psychological stress as a potential mediating factor and thus, we investigated whether effects of moderate psychological stress on relevant brain regions interact with menstrual cycle phase. Twenty-eight healthy women were tested in a crossover design with menstrual cycle phase (late luteal versus late follicular) and stress (stress induction versus control) as within-subject factors. After stress induction (or control), we probed neural responses to facial expressions using fMRI. During the late luteal phase, negative affect was highest and the stress-induced increase in heart rate was mildly augmented. fMRI data of the control condition replicate previous findings of elevated amygdala and medial prefrontal cortex responses when comparing the late luteal with the late follicular phase. Importantly, stress induction had opposite effects in the two cycle phases, with unexpected lower response magnitudes in the late luteal phase. Moreover, the larger the increase in allopregnanolone concentration across the menstrual cycle was, the smaller the amygdala and medial prefrontal cortex responses were after stress induction in the late luteal phase. Our findings show that moderate psychological stress influences menstrual cycle effects on activity in the emotion regulation circuitry. These results provide potential insights into how fluctuations in allopregnanolone that naturally occur during the menstrual cycle may change stress vulnerability.