The nervous system is a target and a source of steroids. Neuroactive steroids are steroids that target neurons and glial cells. They include hormonal steroids originated in the peripheral glands, steroids locally synthesized by the neurons and glial cells (neurosteroids) and synthetic steroids, some of them used in clinical practice. Here we review the mechanisms of synthesis, metabolism and action of neuroactive steroids, including the role of epigenetic modifications and the mitochondria in their sex specific actions. We examine sex differences in neuroactive steroid levels under physiological conditions and their role in the establishment of sex dimorphic structures in the nervous system and sex differences in its function. In addition, particular attention is paid to neuroactive steroids under pathological conditions, analyzing how pathology alters their levels and their role as neuroprotective factors, considering the influence of sex in both cases.