Yes, to echo the others, progesterone is thought to suppress TH1 immunity-- or if that is an obsolete abstraction, it is immunosuppressive in some ways. Years of continuous oral contraceptives (ie daily exogenous estrogen and progesterone) have played a huge role in my disease process.
Estrogen can affect certain pathogens as well. The thing is, hormones play such a ubiquitous role in the body (how vitamins and minerals are used, immune system, interaction with microbiome, etc), there are many pathways in which they can affect a disease process. The problem with medical research is that it doesn't often control for this factor. Women have very dynamic systems.