Neurosteroids are synthesized de novo in the nervous system; they mainly moderate neuronal excitability, and reach target cells via the extracellular pathway. The synthesis of neurosteroids occurs in peripheral tissues such as gonads tissues, liver, and skin; then, because of their high lipophilia, they cross the blood–brain barrier and are stored in the brain structure. Neurosteroidogenesis occurs in brain regions such as the cortex, hippocampus, and amygdala by enzymes necessary for the in situ synthesis of progesterone from cholesterol. Neurosteroids could be considered the main players in both sexual steroid-induced hippocampal synaptic plasticity and normal transmission in the hippocampus. Moreover, they show a double function of increasing spine density and enhancing long term potentiation, and have been related to the memory-enhancing effects of sexual steroids. Estrogen and progesterone affect neuronal plasticity differently in males and females, especially regarding changes in the structure and function of neurons in different regions of the brain. Estradiol administration in postmenopausal women allowed for improving cognitive performance, and the combination with aerobic motor exercise seems to enhance this effect. The paired association between rehabilitation and neurosteroids treatment could provide a boosting effect in order to promote neuroplasticity and therefore functional recovery in neurological patients. The aim of this review is to investigate the mechanisms of action of neurosteroids as well as their sex-dependent differences in brain function and their role in neuroplasticity and rehabilitation.