Secretin
Secretin was the first hormone to be identified. In 1902, William Bayliss and Ernest Starling were studying how the nervous system controls the process of digestion. It was known that the pancreas secreted digestive juices in response to the passage of food (chyme) through the pyloric sphincter into the duodenum. They discovered (by cutting all the nerves to the pancreas in their experimental animals) that this process was not, in fact, governed by the nervous system. They determined that a substance secreted by the intestinal lining stimulates the pancreas after being transported via the bloodstream. They named this intestinal secretion "secretin". Secretin was the first such "chemical messenger" identified. This type of substance is now called a hormone, a term coined by Bayliss in 1905.
Kenneth Callow
In the 1930s Callow became interested in the structure and action of sex hormones and identifying steroids in urine. In a 1936 paper, written with Frank Young, a footnote states "The term steroids is proposed as generic name for the group of compounds comprising the sterols, bile acids, heart poisons, saponins and sex hormones." Callow claimed that this was the first use of the term "steroids". 
He showed that androgens were excreted in the urine in similar amounts in men, women and eunuchs, which at the time was surprising. His conclusion was that these substances were produced by the adrenal cortex as well as by the gonads. This conclusion was supported by findings made jointly with A.C. Crooke, working at the London Hospital, that patients with Cushing's syndrome, caused by a tumour of the adrenals, had very high levels of androgenic substances in the urine.