Steroid hormones act as important regulators of physiological processes including gene expression. They provide possible mechanistic explanations of observed sex-dimorphisms in obesity and coronary artery disease (CAD). Here, we aim to unravel causal relationships between steroid hormones, obesity, and CAD in a sex-specific manner. In genome-wide meta-analyses of four steroid hormone levels and one hormone ratio, we identified 17 genome-wide significant loci of which 11 were novel. Among loci, seven were female-specific, four male-specific, and one was sex-related (stronger effects in females). As one of the loci was the human leukocyte antigen (HLA) region, we analyzed HLA allele counts and found four HLA subtypes linked to 17-OH-progesterone (17-OHP), including HLA-B*14*02. Using Mendelian randomization approaches with four additional hormones as exposure, we detected causal effects of dehydroepiandrosterone sulfate (DHEA-S) and 17-OHP on body mass index (BMI) and waist-to-hip ratio (WHR). The DHEA-S effect was stronger in males. Additionally, we observed the causal effects of testosterone, estradiol, and their ratio on WHR. By mediation analysis, we found a direct sex-unspecific effect of 17-OHP on CAD while the other four hormone effects on CAD were mediated by BMI or WHR. In conclusion, we identified the sex-specific causal networks of steroid hormones, obesity-related traits, and CAD.