Most prior studies in patients with premenstrual dysphoric disorder (PMDD) indicate a blunted hypothalamus-pituitary-adrenal axis function. However, the relationship between neuroactive progesterone metabolites, such as allopregnanolone, and hypothalamus-pituitary-adrenal (HPA) axis function in PMDD patients is relatively sparsely studied. The primary aims of this study were to assess diurnal variation in circulating cortisol and low-dose dexamethasone suppression in PMDD patients and healthy controls, and the relationship between these two HPA axis indices and allopregnanolone serum concentrations. Twenty-six women with prospectively defined PMDD and 30 healthy controls were recruited. Participants underwent diurnal sampling for cortisol serum concentrations and a low-dose dexamethasone suppression test. In addition, morning allopregnanolone serum concentrations were determined. There was no difference in diurnal secretion of cortisol and degree of dexamethasone suppression of cortisol between PMDD patients and healthy controls. However, PMDD patients with high allopregnanolone levels displayed blunted nocturnal cortisol levels in comparison with healthy controls who had low allopregnanolone serum concentrations. In women with PMDD, diurnal secretion of cortisol may be influenced by allopregnanolone levels of the luteal phase. This finding may be attributed to timing of blood sampling in the late luteal phase as well as the individual level of allopregnanolone but could potentially explain the discrepancies in results between studies examining HPA axis function in women with PMDD.