Pregnenolone (PREG) is an endogenous neuroactive steroid that is increased in rodent brain and plasma after hypothalamic–pituitary–adrenal (HPA) activation by acute stress or ethanol administration. Plasma levels of PREG metabolites are altered by pharmacological challenges of the HPA axis, however little is known about HPA regulation of PREG levels in monkeys. PREG concentrations were determined by radioimmunoassay in plasma samples from cynomolgus monkeys, following challenge with naloxone (125 and 375 μg/kg), corticotropin-releasing factor (CRF; 1 μg/kg), dexamethasone (130 μg/kg), adrenocorticotropic hormone (ACTH; 10 ng/kg; 4–6 h after 0.5 mg/kg dexamethasone) and ethanol (1.0 and 1.5 g/kg). Naloxone increased PREG levels, while CRF appeared to increase metabolism of PREG to deoxycorticosterone (DOC). ACTH, administered after dexamethasone, reduced PREG levels, despite an increase in plasma cortisol. Ethanol did not alter PREG levels. Changes in PREG levels were correlated with changes in DOC levels after naloxone 125 μg/kg, CRF, ethanol 1.5 g/kg, and dexamethasone challenges. Furthermore, dexamethasone-induced changes in PREG levels were correlated with subsequent alcohol intake. These data suggest that PREG responses to dexamethasone challenge may represent a trait marker of alcohol drinking. The lack of effect of ethanol on PREG levels suggests differential regulation in non-human primates vs. rodents.