During the helminth infections, the immune system tends to be modulated by host’s sex hormones. Actually, many studies show the reciprocal relationship between sex steroids, the immune system and the elimination or establishment of helminth parasites. Is well known that innate immune response determines the type of adaptive immune response, so the effects in the innate immune response by hormones may affect subsequent adaptive immunity. The sex steroids as estrogens, progesterone and testosterone regulate growth, differentiation, survival and function of many cell types that could be involved in process like homeostasis and immunity, but also have a direct effect on the helminthes, that may probably be mediated by specific receptors on these parasites. Sex steroids, parasites and immunity are closely connected, and their interconnection is involved in the maintenance of elimination or establishment of helminthes in an immunocompetent host. For that reason, understanding the action’s mechanisms of sex steroids on immune cells and its direct effect on helminth parasites is important for further progress in the development of novel therapies for chronic helminth diseases associated to immune dysregulation. In this review, we will describe the effects of sex steroids on the immune response during helminth infections as well as the direct effect in these parasites, and the possible implications of these effects on the incidence of several helminth infections.