Alpha-casozepine (α CZP), a tryptic hydrolysate of milk casein is a decapeptide shown to promote sleep and produce anxiolytic or anticonvulsant activity. Intriguingly, studies indicate structural similarities to benzodiazepine (BZD)-like molecules (e.g., diazepam), resulting in positive modulation of γ-aminobutyric acid A type (GABAA) receptors. However, some unexplained anomalous behaviour of α-CZP includes 1) 1000 times less affinity for BZD site on GABAA receptor in vitro conditions, whereas in vivo it showed 10-fold increased affinity when compared to diazepam; 2) anxiolytic effects were observed only in stressed conditions and 3) unlike diazepam, it failed to exhibit dependence or habituation. Interestingly, neurosteroids like allopregnanolone or its analogues that are synthesized de novo have both genomic and non-genomic actions. The rapid nongenomic neuronal inhibition of these compounds is mediated by GABAA receptors through autocrine and paracrine actions. Studies have shown that changes in the levels of neurosteroids during acute (rise) and chronic stress (decreased), consequently, altering the senetivity of GABAA receptor subunits. Neurosteroids even at low concentration (nanomolar range) potentiate the response of GABA indirectly, while at higher concentrations they directly activate the receptor-channel complex. Interestingly, coadministration of neurosteroids and BZPs has shown not only to prevent the development of tolerance of BZP and augmented recovery from BZP withdrawal anxiety and hyperactivity in mice. The combination also produced synergetic anxiolytic effects. Taken together, the evidence suggests possible implications of neurosteroids in the actions of CZP via BZD receptors. The present hypothesis brings out the possible role of neurosteroids and the various factors that might participate in CZP-induce anxiolytic effects.