The cholesterol sulfotransferase SULT2B1b converts cholesterol to cholesterol sulfate (CS). We previously reported that SULT2B1b inhibits hepatic gluconeogenesis by antagonizing the gluconeogenic activity of hepatocyte nuclear factor 4α (HNF4α). In this study, we showed that the SULT2B1b gene is a transcriptional target of HNF4α, which led to our hypothesis that the induction of SULT2B1b by HNF4α represents a negative feedback to limit the gluconeogenic activity of HNF4α. Indeed, downregulation of Sult2B1b enhanced the gluconeogenic activity of HNF4α, which may have been accounted for by the increased acetylation of HNF4α as a result of decreased expression of the HNF4α deacetylase sirtuin 1 (Sirt1). The expression of Sult2B1b was also induced by HNF4α upon fasting, and the Sult2B1b null (Sult2B1b) mice showed increased gluconeogenic gene expression and an elevated fasting glucose level, suggesting that SULT2B1b also plays a restrictive role in HNF4α-mediated fasting-responsive gluconeogenesis. We also developed thiocholesterol, a hydrolysis-resistant derivative of CS, which showed superior activity to that of the native CS in inhibiting gluconeogenesis and improving insulin sensitivity in high-fat-diet-induced diabetic mice. We conclude that the HNF4α-SULT2B1b-CS axis represents a key endogenous mechanism to prevent uncontrolled gluconeogenesis. Thiocholesterol may be used as a therapeutic agent to manage hyperglycemia.