Pregnenolone (P5) promotes prostate cancer cell growth, and de novo synthesis of intratumoural P5 is a potential cause of development of castration resistance. Immune cells can also synthesize P5 de novo. Despite its biological importance, little is known about P5's mode of actions, which appears to be context dependent and pleiotropic. A comprehensive proteome-wide spectrum of P5-binding proteins that are involved in its trafficking and functionality remains unknown. Here, we describe an approach that integrates chemical biology for probe synthesis with chemoproteomics to map P5-protein interactions in live prostate cancer cells and murine CD8+ T cells. We subsequently identified P5-binding proteins potentially involved in P5-trafficking and in P5's non-genomic action that may drive the promotion of castrate-resistance prostate cancer and regulate CD8+ T cell function. We envisage that this methodology could be employed for other steroids to map their interactomes directly in a broad range of living cells, tissues, and organisms.