Finasteride is used in female‐pattern hair loss, hirsutism, and polycystic ovarian syndrome. It inhibits 5α‐reductase, which is an important enzyme in the biosynthesis of neurosteroids. The effects of finasteride treatment on mental health in female patients as well as the effects of repeated/chronic finasteride administration in female rodents are still unknown. Accordingly, in our study, we administered finasteride (10, 30, or 100 mg/Kg, s.c.) for 6 days in female rats and evaluated behavior, plasma steroid levels, and synaptic plasticity. Depression‐like behavior was evaluated using forced swim test (FST) and splash test. Anxiety‐like behavior was evaluated using novelty‐suppressed feeding task (NSFT), elevated plus maze (EPM), open field test (OFT), and light–dark test (LDT). Plasma steroid levels were assessed using ELISA and synaptic plasticity by field potential recordings. We observed that finasteride decreased total immobility duration in FST, indicating antidepressant‐like effect and decreased the latency to first bite in NSFT, showing anxiolytic‐like effect. We also found a significant increase in plasma estradiol and a significant decrease in plasma corticosterone level. Furthermore, field potential recordings showed that finasteride increased hippocampal long‐term potentiation. These results indicate that repeated finasteride administration in female rats may have antidepressant‐ and anxiolytic‐like effect, which might be mediated by enhanced estradiol levels or decreased corticosterone levels. Further studies are required to validate the molecular mechanisms underlying the effects of finasteride in female rats. Understanding the mechanisms will help us in developing novel neurosteroid‐based therapeutics in the treatment of neuropsychiatric disorders in women.