Neuroactive steroids modulate neurotransmission through modulation of specific neurotransmitter receptors such as gamma-aminobutyric acid type A (GABAA) 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 3alpha-reduced neuroactive steroids have been observed during major depression. This disequilibrium can be corrected by successful treatment with antidepressant drugs. However, non-pharmacological antidepressant treatment strategies did not affect neuroactive steroid composition independently from the clinical response. Further research is needed to clarify whether enhancement of neuroactive steroid levels might represent a new therapeutical approach in the treatment of affective disorders. Nevertheless, the first studies investigating the therapeutical effects of exogenously administered dehydroepiandosterone revealed promising results in the treatment of major depression. In addition, in various anxiety disorders alterations of neuroactive steroid levels have been observed. In panic disorder, in the absence of panic attacks, neuroactive steroid composition is opposite to that seen in depression, which may represent counter-regulatory mechanisms against the occurrence of spontaneous panic attacks. However, during experimentally induced panic attacks, there was a pronounced decline in GABAergic neuroactive steroids, which might contribute to the pathophysiology of panic attacks. In conclusion, neuroactive steroids contribute to the pathophysiology of affective disorders and the mechanisms of action of antidepressants. They are important endogenous modulators of depression and anxiety and may provide a basis for the development of novel therapeutic agents in the treatment of affective disorders.