What is the difference between second messengers and gene regulatory proteins?

Second messengers are used in the downstream signalling cascade of protein hormones. As these hormones are hydrophilic, they can't cross the phospholipid bilayer. Therefore, when binding to a specific receptor on the outer layer of the phospholipid bilayer, it triggers to release a second messenger on the cytoplasmic side of the cell. This in turn will cause the biochemical changes in the cell, by acting on enzymes.On the other hand, gene regulatory proteins are used in downstream signalling cascades of steroid hormones. Unlike protein hormones, these are hydrophobic, and can cross the lipid bilayer. These hormones act by regulating transcription of specific genes, but must first bind to a specific receptor in the cytoplasm to form a hormone-receptor complex. This complex can pass the nuclear pore of the nucleus, where it can regulate transcription of specific genes. Remember: receptors are proteins! Therefore, the gene regulatory protein is the receptor that the steroid hormone binds to. It is important to note that we can't call the hormone-receptor complex the 'gene regulatory protein' as a steroid hormone is not a protein!