Our brain operates by the way of interconnected networks. Connections between brain regions have been extensively studied at a functional and structural level, and impaired connectivity has been postulated as an important pathophysiological mechanism underlying several neuropsychiatric disorders. Yet the neurobiological mechanisms contributing to the development of functional and structural brain connections remain to be poorly understood. Interestingly, animal research has convincingly shown that sex steroid hormones (estrogens, progesterone and testosterone) are critically involved in myelination, forming the basis of white matter connectivity in the central nervous system. To get insights, we reviewed studies into the relation between sex steroid hormones, white matter and functional connectivity in the human brain, measured with neuroimaging. Results suggest that sex hormones organize structural connections, and activate the brain areas they connect. These processes could underlie a better integration of structural and functional communication between brain regions with age. Specifically, ovarian hormones (estradiol and progesterone) may enhance both cortico-cortical and subcortico-cortical functional connectivity, whereas androgens (testosterone) may decrease subcortico-cortical functional connectivity but increase functional connectivity between subcortical brain areas. Therefore, when examining healthy brain development and aging or when investigating possible biological mechanisms of 'brain connectivity' diseases, the contribution of sex steroids should not be ignored.