Anxiety and depression symptoms occur at high rates in Veteran populations and can significantly impact function, compromising the ability to work and to successfully form and maintain valued relationships. Several other symptoms commonly occur with anxiety and depression, including poor sleep quality and chronic pain. Since all these symptoms frequently occur together, they may have a common underlying biological basis. A single medication that could effectively treat all these symptoms would be ideal. Converging data suggest that pregnenolone is a promising pharmacological agent for treating multiple psychiatric symptoms and functional impairment. The investigators thus propose to conduct a clinical trial of pregnenolone in Veterans with anxiety and depression symptoms. Pregnenolone has minimal side effects, and the prior research demonstrates that pregnenolone is well-tolerated by Veterans. Treatment with pregnenolone could thus be an efficacious new therapeutic for Veterans experiencing depression, anxiety, poor sleep quality and chronic pain conditions.