Dehydroepiandrosterone (DHEA) and dehydroepiandrosterone-sulphate (DHEAS) have been reported to have memory enhancement effects in humans. A neuro-stimulatory action and an anti-cortisol mechanism of action may contribute to that relation. In order to study DHEA, DHEAS and cortisol relations to working memory and distraction, we recorded the electroencephalogram of 23 young women performing a discrimination (no working memory load) or 1-back (working memory load) task in an audio-visual oddball paradigm. We measured salivary DHEA, DHEAS and cortisol both before each task and at 30 and 60 min. Under working memory load, a higher baseline cortisol/DHEA ratio was related to higher distraction as indexed by an enhanced novelty P3. This suggests that cortisol may lead to increased distraction whereas DHEA may hinder distraction by leading to less processing of the distractor. An increased DHEA production with consecutive cognitive tasks was found and higher DHEA responses attributed to working memory load were related to enhanced working memory processing as indexed by an enhanced visual P300. Overall, the results suggest that in women DHEA may oppose cortisol effects reducing distraction and that a higher DHEA response may enhance working memory at the electrophysiological level.