Steroids, synthesized in peripheral glands or centrally in the brain--the latter being named neurosteroids--exert an important role as modulators of the neuronal activity by interacting with different receptors or ion channels. In addition to the modulation of GABA(A), NMDA or cholinergic receptors, neuroactive steroids interact with an atypical intracellular receptor, the sigma(1) protein. This receptor has been cloned in several species, and highly selective synthetic ligands are available. At the cellular level, sigma1 agonists modulate intracellular calcium mobilization and extracellular calcium influx, NMDA-mediated responses, acetylcholine release, and alter monoaminergic systems. At the behavioral level, the sigma1 receptor is involved in learning and memory processes, the response to stress, depression, neuroprotection and pharmacodependence. Pregnenolone, dehydroepiandrosterone, and their sulfate esters behave as sigma1 agonists, while progesterone is a potent antagonist. This review will detail the physiopathological consequences of these interactions, focusing on recent results on memory and depression. The therapeutical interest of selective sigma1 receptor agonists in alleviating aging-related cognitive deficits will be discussed.