Steroid hormones are all derivatives of cholesterol and include important hormones such as cortisol and aldosterone secreted by the adrenal cortex and the various sex hormones secreted by the gonads. 
About 80% of cholesterol is obtained from dietary intake (CHd) and taken up by cells through receptor-mediated endocytosis and the remainder is synthesised (CHs). 
Once inside the cell cholesterol is released from the secretory vesicle and converted to pregnenolone (the precursor to all the steroid hormones) within the cytoplasm.
Different cells then process pregnenolone into the the various steroid hormones. Whilst peptide and amine hormones are stored within secretory vesicles prior to release, steroid hormones are synthesised de novo in response to the appropriate stimulus and leave the cell by simple diffusion by virtue of their high lipid solubility.
In the blood steroid hormones are usually found bound to carrier proteins specific that that particular hormone but need to dissociate in order to mediate their effects on target tissues.
Unlike other classes of hormones, steroid hormones do not bind to a membrane-associated receptor, but by virtue of their high lipid solubility are able to actually enter the cytoplasm by simple diffusion. If the cell is a target tissue the steroid hormones binds to a specific receptor in the cytoplasm (or sometimes in the nucleus).
This hormone-receptor complex then diffuses into the nucleus of the target cell and binds to DNA sequences associated with the specific genes that mediate the effects of the steroid hormone in this particular cell.
The binding of the hormone-receptor complex to the DNA up-regulates the transcription of the specific genes and subsequently the synthesis of the appropriate proteins to mediate the response in these target tissues.