Neurons and glia in the central nervous system express the necessary enzymes for the synthesis of neurosteroids that are produced in concentrations high enough to exert paracrine effects. Synthesis of brain neurosteroids declines with age, during stressful conditions (including major depression, chronic psychological stress), and in chronic inflammatory and neurodegenerative diseases. Recent reports associate the decrease of brain neurosteroids to neuronal dysfunction and degeneration. This review summarizes the recent findings on how the most studied neurosteroids (dehydroepiandrosterone, pregnenolone and their sulphate esters, progesterone and allopregnanolone) affect neuronal survival, neurite outgrowth and neurogenesis; furthermore, this review discusses potential applications of these neurosteroids in the therapeutic management of neurodegenerative conditions, including that of age-related brain atrophy.