In addition to stimulating gene transcription, sex steroids trigger rapid, non-genomic responses in the extra-nuclear compartment of target cells. These events take place within seconds or minutes after hormone administration and do not require transcriptional activity of sex steroid receptors. Depending on cell systems, activation of extra-nuclear signaling pathways by sex steroids fosters cell cycle progression, prevents apoptosis, leads to epigenetic modifications and increases cell migration through cytoskeleton changes. These findings have raised the question of intracellular localization of sex steroid receptors mediating these responses. During the past years, increasing evidence has shown that classical sex steroid receptors localized in the extra-nuclear compartment or close to membranes of target cells induce these events. The emerging picture is that a process of bidirectional control between signaling activation and sex steroid receptor localization regulates the outcome of hormonal responses in target cells. This mechanism ensures cell cycle progression in estradiol-treated breast cancer cells, and its derangement might occur in progression of human proliferative diseases. These findings will be reviewed here together with unexpected examples of the relationship between sex steroid receptor localization, signaling activation and biological responses in target cells. We apologize to scientists whose reports are not mentioned or extensively discussed owing to space limitations.