Brain-derived neurotrophic factor (BDNF) is a neurotrophin abundantly expressed in several areas of the central nervous system (CNS) and is known to induce a lasting potentiation of synaptic efficacy, to enhance specific learning and memory processes. BDNF is one of the key molecules modulating brain plasticity and it affects cognitive deficit associated with aging and neurodegenerative disease. Several studies have shown an altered BDNF production and secretion in a variety of neurodegenerative diseases like Alzheimer's and Parkinson's diseases but also in mood disorders like depression, eating disorders and schizophrenia. Plasma BDNF is also a biomarker of impaired memory and general cognitive function in aging women. Gonadal steroids are involved in the regulation of several CNS processes, specifically mood, affective and cognitive functions during fertile life and reproductive aging. These observations lead many scientists to investigate a putative co-regulation between BDNF and gonadal and/or adrenal steroids and their relationship with gender difference in the incidence of mental diseases. This overview aims to summarize the current knowledge on the correlation between BDNF expression/function and both gonadal (progesterone, estrogens, and testosterone) and adrenal hormones (mainly cortisol and dehydroepiandrosterone (DHEA)) with relevance in clinical application.