Protein and peptide hormones, catecholamines like epinephrine, and eicosanoids such as prostaglandins find their receptors decorating the plasma membrane of target cells.
Binding of hormone to receptor initiates a series of events which leads to generation of so-called second messengers within the cell (the hormone is the first messenger). The second messengers then trigger a series of molecular interactions that alter the physiologic state of the cell. Another term used to describe this entire process is signal transduction.
Receptors for steroid and thyroid hormones are located inside target cells, in the cytoplasm or nucleus, and function as ligand-dependent transcription factors. That is to say, the hormone-receptor complex binds to promoter regions of responsive genes and stimulate or sometimes inhibit transcription from those genes.
Thus, the mechanism of action of steroid hormones is to modulate gene expression in target cells. By selectively affecting transcription from a battery of genes, the concentration of those respective proteins are altered, which clearly can change the phenotype of the cell.