The steroidogenic endocrine glands and local synthesis both contribute to the pool of steroids present in the central nervous system (CNS) and peripheral nervous system (PNS). 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 therapeutical strategy: the use of pharmaceutical agents that increase the synthesis of endogenous neurosteroids within the nervous system. This approach is so far hampered by the lack of knowledge concerning the regulation of the biosynthetic pathways of neurosteroids and their relationship with sex steroids produced by peripheral glands. The present review summarizes some of the available clinical and experimental findings supporting the critical role of neuro-steroids during the fertile life and reproductive aging and their relationship with endogenous and exogenous sex steroids. Brain metabolism of synthethic progestins and the implication of dehydroepiandrosterone (DHEA) treatment in post-menopausal women will be also discussed.