By rapidly modulating neuronal excitability, neurosteroids regulate physiological processes, such as responses to stress and development. Excessive stress affects their biosynthesis and causes an imbalance in cognition and emotions. The progesterone derivative, allopregnanolone (Allo) enhances extrasynaptic and postsynaptic inhibition by directly binding at GABA receptors, and thus, positively and allosterically modulates the function of GABA. Allo levels are decreased in stress-induced psychiatric disorders, including depression and post-traumatic stress disorder (PTSD), and elevating Allo levels may be a valid therapeutic approach to counteract behavioural dysfunction. While benzodiazepines are inefficient, selective serotonin reuptake inhibitors (SSRIs) represent the first choice treatment for depression and PTSD. Their mechanisms to improve behaviour in preclinical studies include neurosteroidogenic effects at low non-serotonergic doses. Unfortunately, half of PTSD and depressed patients are resistant to current prescribed 'high' dosage of these drugs that engage serotonergic mechanisms. Unveiling novel biomarkers to develop more efficient treatment strategies is in high demand. Stress-induced down-regulation of neurosteroid biosynthesis and changes in GABA receptor subunit expression offer a putative biomarker axis to develop new PTSD treatments. The advantage of stimulating Allo biosynthesis relies on the variety of neurosteroidogenic receptors to be targeted, including TSPO and endocannabinoid receptors. Furthermore, stress favours a GABA receptor subunit composition with higher sensitivity for Allo. The use of synthetic analogues of Allo is a valuable alternative. Pregnenolone or drugs that stimulate its levels increase Allo but also sulphated steroids, including pregnanolone sulphate which, by inhibiting NMDA tonic neurotransmission, provides neuroprotection and cognitive benefits. In this review, we describe current knowledge on the effects of stress on neurosteroid biosynthesis and GABA receptor neurotransmission and summarize available pharmacological strategies that by enhancing neurosteroidogenesis are relevant for the treatment of SSRI-resistant patients. Linked Articles This article is part of a themed section on Pharmacology of Cognition: a Panacea for Neuropsychiatric Disease? To view the other articles in this section visit http://onlinelibrary.wiley.com/doi/10.1111/bph.v174.19/issuetoc.