Hi Andrea, obviously my input isn't from a female perspective, but I've been active for many years in support and discussion forums that involve BHRT protocols for females; mostly directed towards peri and post menopausal. My wife has also been treated in the past with rhythmic and static BHRT protocols, so I've actually found the ladies side of it to be quite intriguing and challenging!
To answer your question about the possibility of taking different hormones at the same time "without" having risks(?) ... It's kind of a Yes and No answer. Yes, women can take a variety of hormones at the same time, depending on the diagnosis, deficiencies, and health factors. Obviously, it might be a "No" with prescribing estrogen, or precursor hormones if cancer is detected, or other conditions that could prohibit hormone treatment.
Everyone's situation is unique, so it's really an individual thing based on where you are at and what you are trying to accomplish. Pregnenolone can be a great supplement for both men and women, and in many cases you will find it is complimented with DHEA, B12, magnesium and even GABA.
If you feel inclined to post any current labs, and any comments on your current condition(s), I will gladly give some comments back. It would be good to know if you are experiencing peri/post menopausal stages, and if estrogen dominance is evident? Depending on estrogen and progesterone, there's a litany of imbalance possibilities that can factor into other variables like the adrenals, thyroid, low test (serum & free), and not to overlook iron, calcium, B12 & D3.
Dr. Uzzi Reiss has two (2) really good books that I would suggest you checkout ...
http://uzzireissmd.com/ (Natural Superwoman and Natural Hormone Balance) ... Here to help, welcome to EM!