It is becoming well established that the gut microbiome has a profound impact on human health and disease. In this review, we explore how steroids can influence the gut microbiota and, in turn, how the gut microbiota can influence hormone levels. Within the context of the gut microbiome‐brain axis, we discuss how perturbations in the gut microbiota can alter the stress axis and behaviour. In addition, human studies on the possible role of gut microbiota in depression and anxiety are examined. Finally, we present some of the challenges and important questions that need to be addressed by future research in this exciting new area at the intersection of steroids, stress, gut‐brain axis and human health.