Steroid hormones easily cross the blood-brain barrier because of their physicochemical lipid solubility. The hormones act through nuclear receptor-mediated mechanisms and modulate gene transcription. In contrast to their genomic actions, the non-genomic rapid action of steroid hormones, acting via various types of membrane-associated receptors, reveals pharmacological properties that are distinct from the actions of the intracellular nuclear receptors. As a result, non-genomic rapid actions have gained increased scientific interest. However, insight into the phylogenic and/or comparative actions of steroids in the brain is still poorly understood. In this review, we summarize recent findings concerning the rapid, non-genomic signaling of steroid hormones in the vertebrate central nervous system, and we discuss (using a comparative view from fish to mammals) recently published data regarding the mechanism underlying physiology and behavior.