Studies in the 1980s revealed endogenous metabolites of progesterone and deoxycorticosterone to be potent, efficacious, positive allosteric modulators (PAMs) of the GABAA receptor (GABAAR). The discovery that such steroids are locally synthesised in the central nervous system (CNS) promoted the thesis that neural inhibition in the CNS may be “fine‐tuned” by these neurosteroids to influence behaviour. In preclinical studies, these neurosteroids exhibited anxiolytic, anticonvulsant, analgesic and sedative properties and, at relatively high doses, induced a state of general anaesthesia, a profile consistent with their interaction with GABAARs. However, realising the therapeutic potential of either endogenous neurosteroids or synthetic “neuroactive” steroids has proven challenging. Recent approval by the Food and Drug Administration of the use of allopregnanolone (brexanolone) to treat postpartum depression has rekindled enthusiasm for exploring their potential as new medicines. Although neurosteroids are selective for GABAARs, they exhibit little or no selectivity across the many GABAAR subtypes. Nevertheless, a relatively minor population of receptors incorporating the δ‐subunit (δ‐GABAARs) appears to be an important contributor to their behavioural effects. Here, we consider how neurosteroids acting upon GABAARs influence neuronal signalling, as well as how such effects may acutely and persistently influence behaviour, and explore the case for developing selective PAMs of δ‐GABAAR subtypes for the treatment of psychiatric disorders.