Background Although traditionally dosed combined oral contraceptives (COCs) (21 days of active pills, 7 days of inactive pills) have not been demonstrated as superior to placebo for the treatment of premenstrual dysphoria (PMD), some randomized controlled trials (RCTs) indicate that oral contraceptives administered with a shortened or eliminated hormone‐free interval are superior to placebo. However, results of such trials are mixed, and no existing studies have directly compared continuous and intermittent dosing schedules of the same oral contraceptive. The present study compared placebo, intermittent dosing of oral contraceptives, and continuous dosing of contraceptives for the treatment of PMD. Methods Fifty‐five women with prospectively confirmed PMD completed a three‐arm, RCT in which they were randomized to 3 months of placebo (n = 22), intermittent drospirenone/ethinyl estradiol dosed on a 21–7 schedule (n = 17), or continuous drospirenone/estradiol (n = 16) following a baseline assessment month. Results All three groups demonstrated similar, robust reductions in premenstrual symptoms over time. A marked placebo response was observed. Conclusions The study fails to replicate a uniquely beneficial effect of continuous COC on PMD. Additional work is needed to understand the psychosocial context bolstering the placebo response in women with PMD.