Introduction The neurosteroid allopregnanolone modulates oxytocin expression in the brain, and its effects arise from its action on the GABAA receptor. Whether neurosteroid levels and the function of the GABAA receptor are involved in the risk of preterm labour in pregnant women is unknown. Methods Pregnant women with (n = 16) or without (n = 20) threatened preterm labour (TPL) in gestational week 33 + 6 days to 37 + 0 days were studied prospectively with procedures including foetal heart rate monitoring, vaginal examination, ultrasound examination and blood tests to determine allopregnanolone, progesterone and oxytocin levels. The GABAA receptor function in both groups was measured with a saccadic eye velocity test (SEVT). Results Plasma oxytocin levels were higher in the TPL group than in the control group (41.5 vs. 37.0 pmol/L, respectively, p = .021). Although the allopregnanolone and progesterone levels in both groups did not differ, there was a negative association between blood oxytocin and allopregnanolone (as predictor) levels in the TPL group (B: −3.2, 95% confidence interval (CI): −5.5 to −0.9, p = .012). As a predictor of TPL, progesterone was associated with cervix maturity (odds ratio: 1.02, 95% CI: 1.00–1.04, p = .038). SEVT showed that the women in both groups had similar GABAA receptor functions. In both groups, body mass index correlated with peak saccadic eye velocity (r = .34, p = .044) and negatively with allopregnanolone (r = −.41, p = .013). Conclusions Neurosteroid levels were unchanged in the peripheral blood of women with TPL, despite the increase in available oxytocin. Although the function of the GABAA receptor was unchanged in women with TPL, to ensure reliable results, saccadic eye velocity should be investigated during a challenge test with a GABAA receptor agonist.