The steroidogenic endocrine glands and local synthesis both contribute to the pool of steroids present in the central nervous system and peripheral nervous system. Although the synthesis of neurosteroids in the nervous system is now well established, the spectrum of respective functions in regulating neuronal and glial functions remains to be fully elucidated. From the concept of neurosteroids derives another treatment strategy: the use of pharmaceutical agents that increase the synthesis of endogenous neurosteroids within the nervous system. This approach has so far been hampered by lack of knowledge concerning the regulation of the biosynthetic pathways of neurosteroids and their relationship with sex steroids produced by the peripheral gland or with exogenous steroids. The present review summarizes some of the available clinical and experimental findings supporting the critical role of neurosteroids during fertile life and reproductive aging and their relationship with endogenous and exogenous sex steroids. The brain metabolism of synthetic progestins and the implications of DHEA treatment in postmenopausal women will also be discussed.