Stroke is the primary reason for death and disability worldwide, with few treatment strategies to date. Neurosteroids, which are natural molecules in the brain, have aroused great interest in the field of stroke. Neurosteroids are a kind of steroid that acts on the nervous system, and are synthesized in the mitochondria of neurons or glial cells using cholesterol or other steroidal precursors. Neurosteroids mainly include estrogen, progesterone (PROG), allopregnanolone, dehydroepiandrosterone (DHEA), and vitamin D (VD). Most of the preclinical studies have confirmed that neurosteroids can decrease the risk of stroke, and improve stroke outcomes. In the meantime, neurosteroids have been shown to have a positive therapeutic significance in some post‐stroke complications, such as epilepsy, depression, anxiety, cardiac complications, movement disorders, and post‐stroke pain. In this review, we report the historical background, modulatory mechanisms of neurosteroids in stroke and post‐stroke complications, and emphasize on the application prospect of neurosteroids in stroke therapy.