In vertebrates, in addition to their classically reproductive functions, steroids regulate the immune system. This action is possible mainly due to the presence of steroid receptors in the different immune cell types. Much evidence suggests that the immune system of fish is vulnerable to xenosteroids, which are ubiquitous in the aquatic environment. In vivo and in vitro assays have amply demonstrated that oestrogens interfere with both the innate and the adaptive immune system of fish by regulating the main leukocyte activities and transcriptional genes. They activate nuclear oestrogen receptors and/or G-protein coupled oestrogen receptor. Less understood is the role of androgens in the immune system, mainly due to the complexity of the transcriptional regulation of androgen receptors in fish. The aim of this manuscript is to review our present knowledge concerning the effect of sex steroid hormones and the presence of their receptors on fish leukocytes, taking into consideration that the studies performed vary as regard the fish species, doses, exposure protocols and hormones used. Moreover, we also include evidence of the probable role of progestins in the regulation of the immune system of fish.