Neuroactive steroids are endogenous and synthetic steroids which act on membrane receptors in the nervous system to excite or inhibit neuronal activity. Their effect on γ-aminobutyric acid type A (GABA_A) receptors and other ligand-gated ion channels has been established, although the nature of the neuroactive steroid binding sites, which allosterically alter receptor function, remains obscure. A subgroup of this class of steroids is termed neurosteroids; these have been demonstrated to be biosynthesized from cholesterol in the nervous system. Neuroactive steroids also are biosynthesized by the adrenals and gonads before being secreted into the circulation. The role of neuroactive steroids in altering the function of the hypothalamic–pituitary–adrenal (HPA) axis is only now emerging. Ten animal models of anxiety and stress are described that are significantly altered by one or more groups of neuroactive steroids. Finally, neuroactive steroid interactions with stress-induced behaviors in experimental animals and humans are reviewed.