From a psychological perspective, the menstrual cycle has been a research topic for more than 50 years. The most recent menstrual cycle research has been driven by an increased interest in sex differences in neuroscience, and the urge to understand sex disparities in prevalence, clinical presentation, and treatment response in psychiatric or neurologic disorders. Indeed, the menstrual cycle is an excellent model of ovarian steroid influence on emotion, behavior, and cognition. This review summarizes the emotion-related and cognitive findings of methodologically sound menstrual cycle studies. In particular, the review is devoted to the sex hormone-induced emotional disturbances in women with premenstrual dysphoric disorder, a subgroup of women responding with enhanced sensitivity to the normal fluctuations in endogenous hormone levels during the menstrual cycle. In addition, emotion processing and cognitive findings across the menstrual cycle in healthy women are also discussed. The overall conclusion is that that menstrual cycle differences in sexually dimorphic cognitive tasks are small and difficult to replicate. Emotion-related changes are more consistently found and are better associated with progesterone and the luteal phase, than with estradiol.