Neuroactive steroids modulate neurotransmission through modulation of specific neurotransmitter receptors such as gamma-aminobutyric acid type A (GABA(A)) receptors. Preclinical studies suggested that neuroactive steroids may modulate anxiety and depression-related behaviour and may contribute to the therapeutical effects of antidepressant drugs. Attenuations of such neuroactive steroids have been observed during major depression and in several anxiety disorders, suggesting a pathophysiological role in such psychiatric conditions. In panic disorder patients a dysequilibrium of neuroactive steroid composition has been observed, which may represent a counterregulatory mechanism against the occurrence of spontaneous panic attacks. Furthermore, alterations of 3alpha-reduced pregnane steroids during major depression were corrected by successful treatment with antidepressant drugs. However in contrast, non-pharmacological antidepressant treatment strategies did not affect neuroactive steroid composition. In addition, changes in neuroactive steroid concentrations after mirtazapine therapy occurred independently from the clinical response, thereby suggesting that changes in neuroactive steroid concentrations more likely reflect direct pharmacological effects of antidepressants rather than clinical improvement in general. Nevertheless, the effects of antidepressant pharmacotherapy on the composition of neuroactive steroids may contribute to the alleviation of certain depressive symptoms, such as amelioration of anxiety, inner tension or sleep disturbances. Moreover, first studies investigating the therapeutical effects of dehydroepiandrosterone revealed promising results in the treatment of major depression. In conclusion, neuroactive steroids are important endogenous modulators of depression and anxiety and may provide a basis for development of novel therapeutic agents in the treatment of affective disorders.