The mineralocorticoid receptor (MR) and its kin, the glucocorticoid receptor (GR) evolved from an ancestral corticoid receptor (CR) in a cyclostome (jawless fish) through gene duplication and divergence. Distinct MR and GR orthologs first appear in cartilaginous fishes, such as sharks, skates, rays and chimaeras. Although aldosterone, the main physiological mineralocorticoid in humans and other terrestrial vertebrates, is not synthesized by cyclostomes or cartilaginous fishes, cyclostome CR and cartilaginous fish MR and GR are activated by aldosterone. Aldosterone first appears in lungfish, lobe-finned fish that are forerunners of terrestrial vertebrates. Further sequence divergence of the MR and GR in terrestrial vertebrates led to emergence of aldosterone as a selective ligand for the MR. Interestingly, ray-finned fish do not synthesize aldosterone, leaving the identity of their physiological mineralocorticoid(s) unresolved. Several steroids: cortisol, 11-deoxycortisol, corticosterone, 11-deoxycorticosterone and progesterone activate fish MR and are potential mineralocorticoids in ray-finned fish. Here we review the evolution of the MR in cartilaginous fish, terrestrial vertebrates and ray-finned fish, and discuss new insights into progesterone activation of the MR in ray-finned fish.