Severe outcomes and death from the novel coronavirus disease 2019 (COVID-19) appear to be characterized by an exaggerated immune response with hypercytokinemia leading to inflammatory infiltration of the lungs and acute respiratory distress syndrome. Risk of severe COVID-19 outcomes is consistently lower in women than men worldwide, suggesting that female biological sex is instrumental in protection. This mini-review discusses the immunomodulatory and anti-inflammatory actions of high physiological concentrations of the steroids 17beta-estradiol (E2) and progesterone (P4). We review how E2 and P4 favor a state of decreased innate immune inflammatory response while enhancing immune tolerance and antibody production. We discuss how the combination of E2 and P4 may improve the immune dysregulation that leads to the COVID-19 cytokine storm. It is intended to stimulate novel consideration of the biological forces that are protective in women compared to men, and to therapeutically harness these factors to mitigate COVID-19 morbidity and mortality.