The central nervous system (CNS) is one of the main target tissues for sex steroid hormones, which act both through genomic mechanisms, modulating synthesis, release, and metabolism of many neuropeptides and neurotransmitters, and through nongenomic mechanisms, influencing electrical excitability, synaptic function, and morphological features. The identification of the brain as a de novo source of neurosteroids modulating cerebral function, suggests that the modifications in mood and cognitive performances occurring in postmenopausal women could also be related to a modification in the levels of neurosteroids, particularly allopregnanolone and DHEA, GABA-A agonist, and antagonist, respectively. The selective estrogen receptor modulators (SERMs) are compounds that activate the estrogen receptors with different estrogenic and antiestrogenic tissue-specific effects. In addition to the effects of the classic steroid hormones on the CNS, the study of selective estrogen receptor modulators impact on the neuroendocrine system has recently provided encouraging results, indicating that raloxifene analog LY 117018 and the new generation SERM EM-652 have an estrogen-like action on beta-endorphin and on allopregnanolone in ovariectomized rats, while they exert an anti-estrogenic effect in fertile rats and in ovariectomized rats treated with estrogens. In addition, raloxifene administration in postmenopausal women plays an estrogen-like effect on circulating beta-EP and allopregnanolone levels, and it restores the response of beta-EP and allopregnanolone to neuroendocrine tests. In conclusion, the positive effects of HRT on mood and cognition in postmenopausal women occur via the modulation of neuroendocrine pathways and probably also of neurosteroidogenesis. The effects of raloxifene on mood and cognition encourage the efforts in the research of an ideal estrogen replacement therapy, showing all the positive effects of estrogens and fewer side effects.