Twenty-six women meeting DSM criteria for premenstrual dysphoric disorder (PMDD) and 39 non-PMDD controls were tested for allopregnanolone (ALLO) responses to mental stress. Approximately half of each group had a history of depression (DEP) (14 PMDD, 17 non-PMDD), though all were free of current psychiatric illness. ALLO was sampled in response to venipuncture stress, after an extended baseline, and again 30 and 60 min following the onset of mental stressors. All women with prior DEP, regardless of PMDD status, showed a blunted ALLO stress response at 30 and 60 min (p < 0.05), and also failed to show the expected decrease from venipuncture to baseline rest (p = 0.08) compared to women with no prior DEP. Women with prior DEP did not show the expected correlation between progesterone and ALLO (r = 0.16) that was seen in those with no prior DEP (r = 0.37, p < 0.05). ALLO levels at extended baseline and blunted ALLO reactivity predicted more severe premenstrual symptoms, but only in PMDD women with prior DEP (p values <0.05). These results suggest that a history of DEP is associated with a failure of ALLO to be appropriately responsive to challenge, with alterations in the conversion of progesterone to ALLO, and confirm prior reports linking ALLO to symptoms in PMDD, but only in PMDD women with histories of DEP.