The purpose of this research is to determine if pregnenolone supplement is associated with a reduction in substance use and craving in patients with recurrent major depressive disorder or bipolar disorder and substance abuse/dependence. This research also wants to explore if pregnenolone supplements are associated with improvement in psychiatric symptoms and memory, which are often negatively affected in these patients. It is hypothesized that patients receiving pregnenolone supplements would show greater improvements in mood symptoms and memory, and crave substances less than the patients receiving placebo.