Gender and sex hormones exert powerful effects in the susceptibility and progression of numerous human and experimental autoimmune diseases. This has been attributed to direct immunological effects of sex hormones that impact a clear gender dimorphism on the immune system. Globally, estrogens depress T cell-dependent immune function and diseases, but enhance antibody production and aggravate B cell-dependent diseases. Androgens suppress both T-cell and B-cell immune responses and virtually always result in the suppression of disease expression. Defects in the hypothalamic-pituitary-adrenal (HPA) axis have been proposed to play an important role in the pathogenesis of autoimmune diseases. Glucocorticoid response to stress, including immune challenge, is strongly inhibited by androgens and enhanced by estrogens. Complex three-way interactions between these systems appear to be involved in gender dimorphism of the immune system. This paper reviews the mechanisms involved in interactions between sex steroids and the HPA axis, addresses the possibility of similar interactions on immunocompetent cells, and explores an integrated perspective of the impact of these interplays on the immune system.