Neuroinflammation represents a common feature of many neurodegenerative diseases implicated both in their onset and progression. Neuroactive steroids act as physiological regulators and protective agents in the nervous system. Therefore, the attention of biomedical research has been recently addressed in evaluating whether neuroactive steroids, such as progestagens, androgens, and estrogens may also affect neuroinflammatory pathways. Observations so far obtained suggest a general anti-inflammatory effect with a beneficial relapse on several neurodegenerative experimental models, thus confirming the potentiality of a neuroprotective strategy based on neuroactive steroids. In this scenario, neuroactive steroid metabolism and the sophisticated machinery involved in their signaling are becoming especially attractive. In particular, because metabolism of neuroactive steroids as well as expression of their receptors is affected during the course of neurodegenerative events, a crucial role of progesterone and testosterone metabolites in modulating neuroinflammation and neurodegeneration may be proposed. In the present review, we will address this issue, providing evidence supporting the hypothesis that the efficacy of neuroactive steroids could be improved through the use of their metabolites.