Several studies have demonstrated that in woman the sex hormones such as estrogen (E2) and progesterone (P4) influence iron (Fe) regulation, contributing to variations in Fe parameters along the menstrual cycle. These mechanisms based on the regulation of hepcidin (Hepc) which limits Fe availability during the cycle, remain poorly characterized in healthy mares. The objective of this study was to establish the relationship between Hepc, Fe, ferritin (Ferr), and the primary ovarian hormones E2 and P4 in cycling Purebred Spanish mares. Blood samples were taken from 31 Purebred Spanish mares day −5, on day 0, day +5 and day +16 of the cycle. Fe and Ferr significantly increased and Hepc decreased during pre- and ovulatory periods. The secretion peak of estradiol-17β (E2) was reached on day 0 and progesterone (P4) between days +5 and +16. Fe and Ferr were positively correlated (r = 0.57). Fe and Ferr were negatively correlated with Hepc (r = −0.72 and r = −0.02, respectively). E2 and P4 were negatively and positively correlated with Hepc (r = −0.753 and r = 0.54, respectively). In cycling Purebred Spanish mares there is a measurable relationship between steroid hormones and systemic Fe metabolism. Estrogenic dominance in the pre- and ovulatory period allows for a more effective iron status, mediated by hepcidin inhibition. However, P4 during the luteal phase substantially reduces serum Fe and iron stores, possibly related to Hepc stimulation. Future research is required to clarify the relationship between steroid hormones and iron metabolism at the molecular level in equids.