Steroid hormone production by adrenal cortex, gonads and placenta (so called glandular steroidogenesis) is responsible for the endocrine control of the body’s homeostasis and organized by a feedback regulatory mechanism based on the hypothalamus-pituitary-steroidogenic gland axis. On the other hand, recently discovered extraglandular steroidogenesis occurring locally in different tissues is rather linked to paracrine or autocrine signaling and it is independent of the control by the hypothalamus and pituitary. Bone cells, such as bone-forming osteoblast, osteoblast-derived osteocytes and bone-resorbing osteoclasts respond to steroid hormones produced by both glandular and extraglandular steroidogenesis. Recently, new techniques to identify steroid hormones as well as synthetic steroids and steroidogenesis inhibitors have been introduced, which greatly empowered steroid hormone research. Based on recent literature and new advances in the field, here we review the local role of steroid hormones in regulating bone homeostasis and skeletal lesion formation. The novel idea of extraglandular steroidogenesis occurring within the skeletal system raises the possibility of the development of new therapies for the treatment of bone diseases.