Neurosteroids are steroids that rapidly alter neuronal excitability through interaction with cell surface receptors, mainly with GABA/A receptor complex. Neurosteroids are synthesized both in the central nervous system and in peripheral tissues from which they enter the brain with systemic blood flow. Neurosteroids may regulate emotional behavior, therefore, they can be an important factor for the development of depressive disorders: major depression, post-traumatic stress disorder, premenstrual dysphoric disorder, postpartum depression. Studies of neurosteroids offer opportunities for new treatments for depressive disorders.