The use of steroids and their receptors as ligand-gated transcription factors is thought to be an important step in vertebrate evolution. The lamprey is the earliest-evolving vertebrate to date in which sex steroids and their receptors have been demonstrated to have hormonal roles similar to those found in jawed vertebrates. Sex steroids and their receptors have been examined in several lamprey species, and the majority of studies have focused on the sea lamprey, Petromyzon marinus. While classical steroids appear to be present in lampreys, their function, concentrations, and synthesis have not been determined conclusively. The only classical steroid that is thought to act as a hormone in both males and females is estradiol. Recent research has established that lampreys produce and circulate 15alpha-hydroxylated steroids, and that these steroids respond to upstream stimulation within the hypothalamic-pituitary-gonadal axis. In particular, 15alpha-hydroxyprogesterone is highly sensitive and responds in great magnitude to stimulation, and is likely a hormone. Lampreys also appear to use androstenedione, a precursor to vertebrate androgens, as their main androgen, and a receptor for androstenedione has recently been described. Non-classical steroids are prevalent in many aquatic vertebrates, and the non-classical steroids found in the sea lamprey may represent an evolutionary artifact, or alternatively may be a way to avoid endocrine disruption when ingesting the body fluids of host fish. The lamprey will continue to be an interesting model for examining the evolution of steroid hormones, steroid receptors, and steroid function.