We compared daily urinary concentrations of oestrogen and progesterone metabolites in paired menstrual cycles (conception and non-conception) from 32 women. Volunteers with no known fertility problems were enrolled in the study at the time they began trying to become pregnant. They collected first-morning urine specimens and kept daily records of menstrual bleeding and sexual intercourse for 6 months or until they became clinically pregnant. Intercourse in non-conception cycles was close to the time of ovulation so that failure to conceive was caused by factors other than poorly timed intercourse. Compared with non-conception cycles, conception cycles had a steeper early luteal rise in progesterone and higher mid-luteal oestrogen and progesterone concentrations. These hormonal characteristics may be markers of better quality cycles, but because all these differences were in the luteal phase, we cannot rule out the possibility that the preimplantation embryo had stimulated early increases in steroid production. We propose an analysis strategy that could help support or refute the importance of preimplantation embryonic signalling, but our small sample size limits our own conclusions about this mechanism.