Multiple sclerosis (MS) is an autoimmune disease affecting the CNS and occurring far more prevalently in women than in men. In both MS and its animal models, sex hormones play important immunomodulatory roles. We have previously shown that experimental autoimmune encephalomyelitis (EAE) affects the hypothalamic–pituitary–gonadal axis in rats of both sexes and induces an arrest in the estrous cycle in females. To investigate the gonadal status in female rats with EAE, we explored ovarian morphometric parameters, circulating and intraovarian sex steroid levels, and the expression of steroidogenic machinery components in the ovarian tissue. A prolonged state of diestrus was recorded during the peak of EAE, with maintenance of the corpora lutea, elevated intraovarian progesterone levels, and increased gene and protein expression of StAR, similar to the state of pseudopregnancy. The decrease in CYP17A1 protein expression was followed by a decrease in ovarian testosterone and estradiol levels. On the contrary, serum testosterone levels were slightly increased. With unchanged serum estradiol levels, these results point at extra-gonadal sites of sex steroid biosynthesis and catabolism as important regulators of their circulating levels. Our study suggests alterations in the function of the female reproductive system during central autoimmunity and highlights the bidirectional relationships between hormonal status and EAE.