Pregnenolone for Veterans with Anxiety and Depression

Inclusion Criteria: 1. Veterans enrolled for care at the Durham Veterans Affairs Health Care System (VAHCS) 2. Veterans who score a minimum score of 20 or higher (moderate symptoms) on the PHQ-ADS (Kroenke et al 2017) 3. Oral pregnenolone could reduce the effectiveness of oral contraceptives, thus women will be required to use a medically and study-approved contraceptive or otherwise not be of child-bearing potential. Birth control methods must be non-hormonal. 4. No anticipated need to alter psychiatric medications for duration of study involvement 5. Ability to participate fully in the informed consent process Exclusion Criteria: 1. History of allergy to pregnenolone (PREG) 2. Medical disorders that may preclude safe administration of PREG or exacerbate mental or physical health symptoms 3. Post-traumatic stress disorder (PTSD) diagnosis, as per the PCL-5 with LEC-5, scores of 38 or higher 4. Current suicidal or homicidal ideation necessitating clinical intervention or representing an imminent concern. Prior attempts or suicidal ideation that does not require clinical intervention or represent an imminent concern is permitted 5. Serious unstable medical illness, such as history of cerebrovascular accident, prostate, uterine or breast cancer, others (at the discretion of the PI and medical oversight team) 6. Standard pharmacological interventions for mental health disorders will not be exclusionary; however, there may be no changes in psychotropic medications for mental or physical health conditions 4 weeks prior to study randomization 7. Benzodiazepine or opioid use 8. Current diagnosis of bipolar disorder, schizophrenia or other psychotic disorder, or cognitive disorder due to a general medical condition other than mild TBI (assessed at screening) 9. Initiation or change in psychotherapy within 3 months of randomization (i.e., psychotherapy must be stable for 3 months prior to study start 10. Due to lack of safety data in pregnant and breast-feeding women, female participants who are pregnant or breast-feeding will be excluded 11. As indicated by the DSM-5, moderate or severe Substance Use Disorders (excluding caffeine and tobacco) within 1 month of study entry