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A few thoughts:

1. Progesterone has been given to men, in the form of Norethisterone - suicidal ideation / depression is the reason we don’t have a male hormonal contraceptive.

2. The progesterone only pill has a higher risk of depression than the combined pill in women. This is particularly the case for older more ‘androgenic’ forms of synthetic progesterone

https://jamanetwork.com/journals/jamapsychiatry/fullarticle/2552796

3. 5α-reductase inhibitors are actually an effective treatment for PMDD by blocking allopregnanolone production https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4748434/

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"Interesting thought: do 5α-reductase inhibitors cause depression?"

Good guess: https://jamanetwork.com/journals/jamainternalmedicine/fullarticle/2610105

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So it looks like this is true in men who are prescribed them for prostatic hyperplasia. Interesting!

Thomas Reilly's comment mentioned that they can prevent PMDD, seemingly by preventing the increase of allopregnanolone during the luteal phase (and subsequent drop).

The thing about 5α-reductase is that it's involved in production of a lot of other steroid hormones, not just allopregnanolone. But given that there's good evidence for nervous system effects of allopregnanolone, I think that's probably what's going on here.

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