Steroids constitute an important class of pharmacologically active molecules, playing key roles in human physiology. Within this group, 16E-arylideneandrostane derivatives have been reported as potent anti-cancer agents for the treatment of leukemia, breast and prostate cancers, and brain tumors. Additionally, 5α,6α-epoxycholesterol is an oxysterol with several biological activities, including regulation of cell proliferation and cholesterol homeostasis. Interestingly, pregnenolone derivatives combining these two modifications were described as potential neuroprotective agents. In this research, novel 16E-arylidene-5α,6α-epoxyepiandrosterone derivatives were synthesized from dehydroepiandrosterone by aldol condensation with different aldehydes followed by a diastereoselective 5α,6α-epoxidation. Their cytotoxicity was evaluated on tumoral and non-tumoral cell lines by the 3-(4,5-dimethylthiazol-2-yl)-2,5-diphenyltetrazolium bromide assay. Furthermore, the assessment of the neuroprotective activity of these derivatives was performed in a dopaminergic neuronal cell line (N27), at basal conditions, and in the presence of the neurotoxin 6-hydroxydopamine (6-OHDA). Interestingly, some of these steroids had selective cytotoxic effects in tumoral cell lines, with an IC50 of 3.47 µM for the 2,3-dichlorophenyl derivative in the breast cancer cell line (MCF-7). The effects of this functionalized epoxide on cell proliferation (Ki67 staining), cell necrosis (propidium iodide staining), as well as the analysis of the nuclear area and near neighbor distance in MCF-7 cells, were analyzed. From this set of biological studies, strong evidence of the activation of apoptosis was found. In contrast, no significant neuroprotection against 6-OHDA-induced neurotoxicity was observed for the less cytotoxic steroids in N27 cells. Lastly, molecular docking simulations were achieved to verify the potential affinity of these compounds against important targets of steroidal drugs (androgen receptor, estrogen receptor α, and 5α-reductase type 2, 17α-hydroxylase-17,20-lyase and aromatase enzymes). This in silico study predicted a strong affinity between most novel steroidal derivatives and 5α-reductase and 17α-hydroxylase-17,20-lyase enzymes.