It has been reported that in streptozotocin (STZ)‐induced diabetes, hyperglycaemia leads to progressive insulin resistance of the peripheral tissues. In this study, we tried to elucidate the effects of hyperglycaemia on insulin sensitivity and insulin signalling in ovariectomized (STZ)‐induced diabetic rats. In addition, we attempted to demonstrate the role of 17β‐oestradiol and progesterone on insulin sensitivity, focusing on their effects on key proteins of skeletal muscle, insulin receptor (IR) and glucose transporter‐4 (Glut‐4). Our results show that hyperglycaemia could modulate insulin signalling, at the IR and Glut‐4 level, in different ways depending on exposure time. 17β‐Oestradiol and progesterone have different effects on insulin signalling. 17β‐Oestradiol treatment improves insulin sensitivity, but its action is dependent on the exposure time and its plasma level. During the early period of treatment (days 6–11), this hormone counteracts the effects of hyperglycaemia downstream of the IR, whereas during the later period of treatment (days 11–16), it may counteract the effects of hyperglycaemia by modulating IR relative tyrosine phosphorylation. By contrast, progesterone only improves insulin sensitivity during the early period of treatment (days 6–11), and this effect is not associated with changes in IR and Glut‐4 content. Both hormones have a protective role in skeletal muscle against the effects of glucose toxicity, but their effects begin at different stages of treatment. These new findings improve our understanding of insulin resistance in type 1 diabetes mellitus and of the risk/benefit ratio when 17β‐oestradiol and progesterone are used in oral contraceptives or hormone replacement therapy taken by menopausal women with controlled type 1 diabetes mellitus.