Female athletes have garnered considerable attention in the last few years as more and more women participate in sports events. However, despite the well-known repercussions of female sex hormones, few studies have investigated the specificities of elite female athletes. In this review, we present the current but still limited data on how normal menstrual phases, altered menstrual phases, and hormonal contraception affect both physical and cognitive performances in these elite athletes. To examine the implicated mechanisms, as well as the potential performances and health risks in this population, we then take a broader multidisciplinary approach and report on the causal/reciprocal relationships between hormonal status and mental and physical health in young (18–40 years) healthy females, both trained and untrained. We thus cover the research on both physiological and psychological variables, as well as on the Athlete Biological Passport used for anti-doping purposes. We consider the fairly frequent discrepancies and summarize the current knowledge in this new field of interest. Last, we conclude with some practical guidelines for eliciting improvements in physical and cognitive performance while minimizing the health risks for female athletes.