Steroid hormones regulate physiological processes in species ranging from plants to humans. A wide range of steroid hormones exist, and their contributions to processes, such as growth, reproduction, development, and aging, is almost always complex. Understanding the biosynthetic pathways that generate steroid hormones and the signaling pathways that mediate their effects is thus of fundamental importance. In this work, we review recent advances in (i) the biological role of steroid hormones in the roundworm Caenorhabditis elegans and (ii) the development of novel methods to facilitate the detection and identification of these molecules. Our current understanding of steroid signaling in this simple organism serves to illustrate the challenges we face moving forward. First, it seems clear that we have not yet identified all of the enzymes responsible for steroid biosynthesis and/or degradation. Second, perturbation of steroid signaling affects a wide range of phenotypes, and subtly different steroid molecules can have distinct effects. Finally, steroid hormone levels are critically important, and minute variations in quantity can profoundly impact a phenotype. Thus, it is imperative that we develop innovative analytical tools and combine them with cutting-edge approaches including comprehensive and highly selective liquid chromatography coupled to mass spectrometry based on new methods such as supercritical fluid chromatography coupled to mass spectrometry (SFC-MS) if we are to obtain a better understanding of the biological functions of steroid signaling.