In emotional learning tasks, sex differences, stress effects and an interaction of these two moderators have often been observed. The sex hormones estradiol (E2) and progesterone (P4) vary over the menstrual cycle. We tested groups with different sex hormone status: 39 men, 30 women in the luteal phase (LU, high E2+P4) and 29 women taking oral contraceptives (OC, low E2+P4). They received either 30 mg cortisol or placebo prior to instructed differential fear conditioning consisting of neutral conditioned stimuli (CS) and an electrical stimulation (unconditioned stimulus; UCS). One figure (CS+) was paired with the UCS, the other figure (CS−) never. During extinction, no electrical stimulation was administered. Regarding fear acquisition, results showed higher skin conductance and higher brain responses to the CS+ compared to the CS− in several structures that were not modulated by cortisol or sex hormones. However, OC women exhibited higher CS+/CS− differentiations than men and LU women in the amygdala, thalamus, anterior cingulate and ventromedial prefrontal cortex during extinction. The suppression of endogenous sex hormones by OC seems to alter neuronal correlates of extinction. The observation that extinction is influenced by the current sex hormone availability is relevant for future studies and might also be clinically important.