Preclinical literature indicates that allopregnanolone (ALLO), a neuroactive steroid metabolized from progesterone, may protect against drug abuse behaviors. It is important to understand how ALLO varies during smoking changes in clinical samples with depressive symptoms (DS) given they are at high risk of smoking relapse. The purpose of this article is to characterize changes in ALLO by menstrual phase during short-term smoking cessation among women with and without DS. At screening, study participants (n = 84) were classified as either having past or current DS (n = 48) or not (n = 36). In a controlled crossover trial design, participants completed 2 testing weeks in the follicular (F; low ALLO) and luteal (L; high ALLO) menstrual phases. During each testing week, blood samples were collected during ad libitum smoking and on the fourth day of biochemically verified smoking abstinence. Participants were, on average, 30.1 ± 6.7 years old, smoked 12.6 ± 5.7 cigarettes per day, and most (73%) were White. The change in ALLO during short-term smoking cessation varied significantly by menstrual phase such that it decreased by 10% in the follicular phase and increased by 31% in the luteal phase. There were no significant differences in ALLO levels by DS group. In premenopausal women, ALLO levels varied by menstrual phase and smoking status, but not DS. Given that other research has indicated L phase is associated with improved smoking cessation outcomes, an increase in ALLO during short-term cessation in the L phase may protect against relapse whereas a decrease in ALLO, as observed in the F phase, may increase risk for relapse.