The role of steroid hormones against infectious diseases has been extensively studied. From immunomodulatory action to direct inhibition of microorganism growth, hormones D3 (VD3) and 17β-estradiol (E2), and the genetic pathways modulated by them, are key targets for a better understanding pathogenesis of infectious respiratory diseases (IRD) such as tuberculosis (TB) and the coronavirus disease-19 (COVID-19). Currently, the world faces two major public health problems, the outbreak of COVID-19, accounting for more than 6 million so far, and TB, more than 1 million deaths per year. Both, although resulting from different pathogens, the Mtb and the SARS-CoV-2, respectively, are considered serious and epidemic. TB and COVID-19 present similar infection rates between men and women, however the number of complications and deaths resulting from the two infections is higher in men when compared to women in childbearing age, which may indicate a role of the sex hormone E2 in the context of these diseases. E2 and VD3 act upon key gene pathways as important immunomodulatory players and supporting molecules in IRDs. This review summarizes the main roles of these hormones (VD3 and E2) in modulating immune and inflammatory responses and their relationship with TB and COVID-19.