Multiple lines of evidence indicate that androgens, such as testosterone, modulate the mesocorticolimbic system and executive function. This review integrates neuroanatomical, molecular biological, neurochemical, and behavioral studies to highlight how endogenous and exogenous androgens alter behaviors, such as behavioral flexibility, decision making, and risk taking. First, we briefly review the neuroanatomy of the mesocorticolimbic system, which mediates executive function, with a focus on the ventral tegmental area (VTA), nucleus accumbens (NAc), medial prefrontal cortex (mPFC), and orbitofrontal cortex (OFC). Second, we present evidence that androgen receptors (AR) and other steroid receptors are expressed in the mesocorticolimbic system. Using sensitive immunohistochemistry and quantitative polymerase chain reaction (qPCR) techniques, ARs are detected in the VTA, NAc, mPFC, and OFC. Third, we describe recent evidence for local androgens (“neuroandrogens”) in the mesocorticolimbic system. Steroidogenic enzymes are expressed in mesocorticolimbic regions. Furthermore, following long-term gonadectomy, testosterone is nondetectable in the blood but detectable in the mesocorticolimbic system, using liquid chromatography tandem mass spectrometry. However, the physiological relevance of neuroandrogens remains unknown. Fourth, we review how anabolic-androgenic steroids (AAS) influence the mesocorticolimbic system. Fifth, we describe how androgens modulate the neurochemistry and structure of the mesocorticolimbic system, particularly with regard to dopaminergic signaling. Finally, we discuss evidence that androgens influence executive functions, including the effects of androgen deprivation therapy and AAS. Taken together, the evidence indicates that androgens are critical modulators of executive function. Similar to dopamine signaling, there might be optimal levels of androgen signaling within the mesocorticolimbic system for executive functioning. Future studies should examine the regulation and functions of neurosteroids in the mesocorticolimbic system, as well as the potential deleterious and enduring effects of AAS use.