The neurosteroid 3α,5α-THP is a potent GABAA receptor-positive modulator and its regulatory action on the HPA axis stress response has been reported in numerous preclinical and clinical studies. We previously demonstrated that 3α,5α-THP down-regulation of HPA axis activity during stress is sex-, brain region- and stressor-dependent. In this study, we observed a deleterious submersion behavior in response to 3α,5α-THP (15 mg/kg) during forced swim stress (FSS) that led us to investigate how 3α,5α-THP might affect behavioral coping strategies engaged in by the animal. Given the well-established involvement of the opioid system in HPA axis activation and its interaction with GABAergic neurosteroids, we explored the synergic effects of 3α,5α-THP/opiate system activation in this behavior. Serum β-endorphin (β-EP) was elevated by FSS and enhanced by 3α,5α-THP + FSS. Hypothalamic Mu-opiate receptors (MOP) were increased in female rats by 3α,5α-THP + FSS. Pretreatment with the MOP antagonist D-Phe-Cys-Tyr-D-Trp-Arg-Thr-Pen-Thr-NH2 (CTAP; 2 mg/kg, IP) reversed submersion behavior in males. Moreover, in both males and females, CTAP pretreatment decreased immobility episodes while increasing immobility duration but did not alter swimming duration. This interaction between 3α,5α-THP and the opioid system in the context of FSS might be important in the development of treatment for neuropsychiatric disorders involving HPA axis activation.