Depression and anxiety disorders are highly prevalent in women. Although several studies have reported altered circulating steroids accompanying various mental disturbances, knowledge about alterations in the peripheral steroid pattern in such pathologies is incomplete. Therefore, we attempted to add to this knowledge using the simultaneous quantification of circulating steroids by gas chromatography mass spectrometry (GC-MS) in groups of premenopausal women in the follicular phase of the menstrual cycle (22 women with depression, 17 with anxiety disorders, 17 healthy controls). In addition to age-adjusted analysis of covariance (ANCOVA) followed by multiple comparisons, we developed models to successfully discriminate these groups from each other on the basis of steroid levels. Women with depression showed a reduced sulfoconjugation of steroids as well as lower levels of 7α-, 7β- and 16α-hydroxy-metabolites of C19 Δ5 steroids. Women with depression have significantly lower circulating levels of 5α/β-reduced pregnane steroids (with exception of free isopregnanolone) than women with anxiety or controls. Finally, our data indicate higher levels of estrogens in women with anxiety disorders when compared to women with depression.