Progesterone and testosterone, beyond their roles as sex hormones, are neuroactive steroids, playing crucial regulatory functions within the nervous system. Among these, neuroprotection and myelin regeneration are important ones. The present review aims to discuss the stimulatory effects of progesterone and testosterone on the process of myelination and remyelination. These effects have been demonstrated in vitro (i.e., organotypic cultures) and in vivo (cuprizone- or lysolecithin-induced demyelination and experimental autoimmune encephalomyelitis (EAE)). Both steroids stimulate myelin formation and regeneration by acting through their respective intracellular receptors: progesterone receptors (PR) and androgen receptors (AR). Activation of these receptors results in multiple events involving direct transcription and translation, regulating general homeostasis, cell proliferation, differentiation, growth and myelination. It also ameliorates immune response as seen in the EAE model, resulting in a significant decrease in inflammation leading to a fast recovery. Although natural progesterone and testosterone have a therapeutic potential, their synthetic derivatives—the 19-norprogesterone (nestorone) and 7α-methyl-nortestosterone (MENT), already used as hormonal contraception or in postmenopausal hormone replacement therapies, may offer enhanced benefits for myelin repair. We summarize here a recent advancement in the field of myelin biology, to treat demyelinating disorders using the natural as well as synthetic analogs of progesterone and testosterone.