The term "neurosteroid" (NS) was introduced by Baulieu in 1981 to name a steroid hormone, dehydroepiandrosterone sulfate (DHEAS), that was found at high levels in the brain long after gonadectomy and adrenalectomy, and shown later to be synthetized by the brain. Later, androstenedione, pregnenolone and their sulfates and lipid derivatives as well as tetrahydrometabolites of progesterone (P) and deoxycorticosterone (DOC) were identified as neurosteroids. The term "neuroactive steroid" (NAS) refers to steroids which, independent of their origin, are capable of modifying neural activities. NASs bind and modulate different types of membrane receptors. The GABA and sigma receptor complexes have been the most extensively studied, while glycine-activated chloride channels, nicotinic acetylcholine receptors, voltage-activated calcium channels, although less explored, are also modulated by NASs. Within the glutamate receptor family, N-methyl-d-aspartate (NMDA) receptors, alpha-amino-3-hydroxy-5-methyl-4-isoxazolepropionic acid (AMPA) receptors and kainate receptors have also been demonstrated to be a target for steroid modulation. Besides their membrane effects, once inside the neuron oxidation of Ring A reduced pregnanes, THP and THDOC, bind to the progesterone intracellular receptor and regulate gene expression through this path. The involvement of NASs on depression syndromes, anxiety disorders, stress responses to different stress stimuli, memory processes and related phenomena such as long-term potentiation are reviewed and critically evaluated. The importance of context for the interpretation of behavioral effects of hormones as well as for hormonal levels in body fluids is emphasized. Some suggestions for further research are given.