The role of neurosteroids in neuropsychiatric disorders has been thoroughly investigated in many research studies that have stressed their significant pathophysiological function in neuropsychiatry. In this review, we will focus mainly on the steroids active on the GABA(A) receptors studied in anxiety and depression. The aim is to discuss the controversial results reported in research on anxiety and depressive disorders. We suggest the combined use of biological parameters linked to psychopathological dimensions to make more homogeneous diagnoses and to develop more precise therapies for the treatment of depression and anxiety disorders. We discuss the role of neurosteroids in the pathophysiology and therapy of anxiety and depression. Finally, we consider the possibility of using quantification of mRNA expression of steroidogenic enzymes from peripheral sources in neuropsychiatry.