Gonadal steroids (estradiol and progesterone) can alter neuronal functioning, but electrophysiological evidence in women is still sparse. Therefore, the present study investigated event-related potentials (ERPs) to neutral stimuli over the course of the menstrual cycle. In addition, associations between ERPs and salivary estradiol and progesterone concentrations were investigated. Eighteen young healthy women were tested at three different phases of their menstrual cycle (menses, and follicular and luteal phases). ERPs (i.e., the N1 and P2 components, reflecting cortical arousal and the orienting response, the N2, P3, and the Slow Wave (SW), reflecting controlled processing) were measured using two different paradigms. In the luteal phase, early ERPs reflecting the cortical arousal response were diminished in the first stimulus block indicating an attenuated orienting response. These changes were significantly correlated with estradiol as well as progesterone levels. As to the later ERP components, the N2 latency was shorter during menses compared to the other two phases. No menstrual cycle-associated changes were apparent in other late ERP components. In sum, this study documents changes in auditory ERPs across the menstrual cycle with the most prominent changes occurring during the luteal phase. Future ERP studies therefore need to be more attentive to the issue of menstrual phase when studying female subjects or female patients.