The correct answer is Glucagon.

To understand why glucagon is not a steroid hormone, let's break down the classification of hormones based on their chemical structure:

1. Steroid Hormones:
Steroid hormones are lipids derived from cholesterol. They share a characteristic chemical structure composed of four fused carbon rings (cyclopentanoperhydrophenanthrene ring system). Because they are lipid-soluble, they can easily pass through cell membranes to bind to intracellular receptors. Examples include:
- Cortisol: A glucocorticoid produced by the adrenal cortex.
- Testosterone: An androgen (male sex hormone) produced mainly by the testes.
- Progesterone: A female sex hormone produced by the ovaries and placenta.

2. Peptide/Protein Hormones:
Peptide and protein hormones are made of chains of amino acids. They are water-soluble and cannot cross the lipid bilayer of cell membranes, so they bind to receptors on the surface of target cells.
- Glucagon: Glucagon is a peptide hormone produced by the alpha cells of the pancreas. It plays a critical role in regulating blood glucose levels by promoting glycogenolysis and gluconeogenesis in the liver. Since it is a peptide, it is not a steroid hormone.

Therefore, among the options provided, cortisol, testosterone, and progesterone are steroid hormones, while glucagon is a peptide hormone.