The brain has an enzymatic ability to biosynthesize cholesterol, which is a predecessor of all steroids. Therefore, progesterone, a gonadal steroid, is also biosynthesized in the nervous system by glial cells, and possibly by certain neuronal populations as well. Progesterone and its reduced metabolites exert a wide spectrum of biological activity on the central and peripheral nervous system. These effects not only affect the reproductive regulation, but also exert multiple actions on the brain when acting directly on the membrane receptors, thus reproducing some actions of the neurotransmitters for which a series of effects associated with diverse behavior patterns have been proposed. The presence of this steroid in different regions of the brain seems to play a neuromodulatory physiological role in the development of stress and aggression, and influence mood and sexual behavior. Its designation as neurosteroids is justified. The effects of progesterone on the central nervous system involves both genomic and non genomic actions on different neurotransmission systems. Diverse clinical and experimental studies suggest that progesterone, besides exerting trophic functions through paracrine/ autocrine actions, is also able to modulate systems of membrane receptors, such as the serotonergic, noradrenergic and dopaminergic systems. It is important to point out that these four neurotransmitters have been involved in depression and in the actions of antidepressants, particularly in the GABA, and also in anxiety processes. Therefore, it has been suggested that progesterone contributes to regulate emotional disorders possibly exerting its actions on brain structures that are part of the limbic system, similarly as antidepressants. It has been shown that progesterone produces changes in useful behavioral tests for testing anxiolitic and antidepressant compounds. For instance, some suggestive data on the increased resistence of rats to despair occurs in the phases of the estrous cycle characterized by an increase in the surrounding levels of progesterone, together with an increase of the neuronal activity of the lateral septal nucleus, similarly to that produced by clinically effective antidepressants. Thus, progesterone seems to share some of the actions of the antidepressants. Likewise, progesterone and its reduced metabolites decrease experimentally induced anxiety. These effects are due to their actions as allosteric agonists of the GABA(A)/benzodiazepine/ Cl- receptor complex, similar effect to that produced by most of the known anxiolytics, which have affinity for the GABA receptor. These actions explain the anesthetic, hypnotic, and anxiolytic effects of some progestagens. However, the physiological significance of the effects of progesterone and its metabolites on the central neurotransmission still remains unexplained. This revision work describes the experimental evidences that have shown that progesterone, a gonadal hormone, is also biosynthetized by the nervous tissue and can modify the neuronal excitability modulating the activity of the GABA(A) receptor by acting on membrane receptors coupled to ionic channels, thus playing an important role in the etiology of some psychiatric disorders associated with changes in the hormonal plasmatic levels, such as anxiety, postpartum depression and premenstrual syndrome.