The interplay between ovarian hormones, stress, and inflammatory markers in developing premenstrual dysphoric disorder (PMDD) remains inadequately understood. This study investigated the associations of dynamic changes in the levels of estrogen, progesterone, cortisol, brain-derived neurotrophic factor (BDNF), and vascular endothelial growth factor (VEGF) with PMDD during the luteal phase of the menstrual cycle. A total of 58 women with PMDD and 50 healthy women were recruited in this study. These women's estrogen, progesterone, cortisol, BDNF, and VEGF levels were evaluated during the preovulation (PO), mid-luteal (ML), and late-luteal (LL) phases. Furthermore, the severity of P MDD symptoms, depressive symptoms, perceived stress, inattention, craving for sweet foods, and fatigue was assessed. The findings revealed that women with PMDD with higher levels of progesterone during the ML or LL phase or a greater increase (ML−PO) or higher sum (ML + LL) of luteal progesterone level exhibited a greater increase in PMDD symptoms during the luteal phase than did the healthy controls. Furthermore, women with PMDD exhibited higher cortisol levels during the LL phase than did the controls. The BDNF level was negatively correlated with PMDD severity. Furthermore, BDNF and VEGF levels were negatively correlated with inattention and craving for sweet foods among women with PMDD. These results suggest an association between progesterone and the exacerbation of PMDD symptoms during the LL phase. Women with PMDD have relatively high cortisol levels during the LL phase. Future investigations with experimental designs or larger sample sizes are warranted to verify the roles of progesterone and cortisol in the development of PMDD.