Sex steroids are essential for reproduction and development in animals and humans, and sex steroids also play an important role in neuroprotection following brain injury. New data indicate that sex-specific responses to brain injury occur at the cellular and molecular levels. This review summarizes the current understanding of neuroprotection by sex steroids, particularly estrogen, androgen, and progesterone, based on both in vitro and in vivo studies. Better understanding of the role of sex steroids under physiological and pathological conditions will help us to develop novel effective therapeutic strategies for brain injury.