A New Intervention to Improve Function in Veterans With Anxiety and Depression

Inclusion Criteria: * Veterans enrolled for care at the Durham VAHCS * Veterans who score a minimum score of 20 or higher (moderate symptoms) on the PHQ-ADS (Kroenke et al 2017) * 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 * No anticipated need to alter psychiatric medications for duration of study involvement * Ability to participate fully in the informed consent process Exclusion Criteria: * History of allergy to PREG * Medical disorders that may preclude safe administration of PREG or exacerbate mental or physical health symptoms * PTSD diagnosis, as per the PCL-5, scores of 38 or higher * 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 * 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) * 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 * Benzodiazepine or opioid use * 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) * Initiation or change in psychotherapy within 3 months of randomization (i.e., psychotherapy must be stable for 3 months prior to study start * Due to lack of safety data in pregnant and breast-feeding women, female participants who are pregnant or breast-feeding will be excluded * As indicated by the DSM-5, moderate or severe Substance Use Disorders (excluding caffeine and tobacco) within 1 month of study entry