Sex hormones are increasingly recognized as regulators of lung development. Respiratory distress syndrome (RDS) is the leading cause of morbidity in preterm neonates and occurs with a higher incidence in males. The mechanisms underlying the effects of androgens on lung development and the occurrence of RDS are only partially deciphered, and positive roles of estrogens on surfactant production and alveologenesis are relevant to our understanding of pulmonary diseases. This manuscript reviews current knowledge on androgen and estrogen metabolism and on relevant hormone targets in the fetal lung. Further investigations are needed to elucidate mechanisms orchestrating sex hormone effects on lung development. These studies aim to decrease mortality and morbidity associated with RDS and other pathologies related to lung immaturity at birth.