Acute exposure to progesterone or its neurosteroid derivative allopregnanolone (3␣,5␣-THP) is anxiolytic, consistent with the GABA modulatory effects of 3␣,5␣-THP at the GABA A receptor. However, continuous exposure to progesterone increases anxiety in association with increased expression of the benzodiazepine-insensitive GABA A receptor ␣4 subunit. Furthermore, negative mood symptoms and altered GABA A receptor pharmacology in patients with premenstrual dysphoric disorder occur in the early luteal phase in association with peak circulating levels of progesterone and 3␣,5␣-THP. Because sex differences have been reported in steroid-regulated anxiety responses, the present study investigated the role of sex and development in the regulation of anxiety after short-term exposure to 3␣,5␣-THP. To this end, we compared the effects of hormone administration in adult male, adult female, and juvenile female rats. Increased anxiety in the elevated plus maze was evident in all groups after 48-h exposure to either 3␣,5␣-THP or progesterone. At this time point, alterations in the anxiolytic profile of benzodiazepine agonists and antagonists were also observed in both adult males and females in the elevated plus maze. However, sex differences in the acoustic startle response were observed after short-term hormone treatment such that only female rats displayed an increased response indicative of higher anxiety levels. These results suggest that although neurosteroid exposure may influence both the pharmacological properties of the GABA A receptor and the manifestation of anxiety in both sexes, the effects of neurosteroids may be modulated in a sex-and task-specific manner.