Significant levels of neuroactive steroids are still detected in the nervous system of rodents after the removal of peripheral steroidogenic glands. However, the influence of the plasma levels of gonadal steroids on the levels of neuroactive steroids in the nervous system has not so far been clarified in detail. Accordingly, by liquid chromatography tandem mass spectrometry, we have analysed the levels of neuroactive steroids in the sciatic nerve, in three central nervous system (CNS) regions (i.e. cerebellum, cerebral cortex and spinal cord) and in the plasma of male and female animals. The levels present in gonadally intact animals were compared with those present in short‐ and long‐term gonadectomised animals. We observed that: (i) changes in neuroactive steroid levels in the nervous system after gonadectomy do not necessarily reflect the changes in plasma levels; (ii) long‐term gonadectomy induces changes in the levels of neuroactive steroids in the peripheral nervous system (PNS) and the CNS that, in some cases, are different to those induced by short‐term gonadectomy; (iii) the effect of gonadectomy on neuroactive steroid levels is different between the PNS and the CNS and within different CNS regions; and (iv) the effects of gonadectomy on neuroactive steroid levels in the nervous system show sex differences. Altogether, these observations indicate that the nervous system adapts its local levels of neuroactive steroids in response to changes in gonadal hormones with sex and regional specificity and depending on the duration of the peripheral modifications.