Peptide hormones are not lipid-soluble; hence, they cannot cross the cell membranes (made up of lipid bilayers easily). Steroid hormones are lipid-soluble; they cross the membranes easily. Much of the comparative analysis is based on this fact. There are other features as well; they are discussed in this video.
(Ref: Berne & Levy. Physiology. 6th edi.)