Biosynthesis of steroid hormones requires a battery of oxidative enzymes located in both mitochondria and endoplasmic reticulum. The rate-limiting step in this process is the transport of free cholesterol from the cytoplasm into mitochondria. Within mitochondria, cholesterol is converted to pregnenolone by an enzyme in the inner membrane called CYP11A1. Pregnenolone itself is not a hormone, but is the immediate precursor for the synthesis of all of the steroid hormones. The following table delineates the enzymes required to synthesize the major classes of steroid hormones.
It turns out that vitamin D receptors are present in most if not all cells in the body. Additionally, experiments using cultured cells have demonstrated that vitamin D has potent effects on the growth and differentiation of many types of cells. These findings suggest that vitamin D has physiologic effects much broader that a role in mineral homeostasis and bone function. As one example, many immune cells not only express vitamin D receptors, but are capable of synthesizing active vitamin D, and deficiency in vitamin D has been associated with increased incidence of autoimmune disease and susceptibility to disease.
Sex hormone-binding globulin (SHBG) is thought to mainly function as a transporter and reservoir for the estradiol and testosterone sex hormones. However it has also been demonstrated that SHBG can bind to a cell surface receptor (SHBG-R). The SHBG-R has not been completely characterized. A subset of steroids are able to bind to the SHBG/SHBG-R complex resulting in an activation of adenylyl cyclase and synthesis of the cAMP second messenger.  Hence the SHBG/SHBG-R complex appears to act as a transmembrane steroid receptor that is capable of transmitting signals to the interior of cells.