The Translocator protein (TSPO), formerly known as the peripheral-type benzodiazepine receptor, is an 18 kDa mitochondrial protein primarily involved in steroid biosynthesis in both peripheral and glial cells. It has been extensively reported that TSPO regulates the rate-limiting translocation of cholesterol from the outer to the inner mitochondrial membrane before its transformation by cytochrome P450scc into pregnenolone, which is further converted into an array of different steroids. In the brain, neurosteroids such as allopregnanolone and pregnenolone, acting as positive modulators of γ-aminobutyric type A (GABAA) receptors, exert anxiolytic activity. Specific ligands targeting TSPO increase neurosteroid production and for this reason they have been suggested to play an important role in anxiety modulation. Unlike benzodiazepines (Bzs), which represent the most common anti-anxiety drugs administered around the world, selective TSPO ligands have shown anxiolytic effects in animal models without any of the side effects associated with Bzs. Therefore, specific TSPO ligands that are able to promote neurosteroidogenesis may represent the future of therapeutic treatment of anxiety disorders. Furthermore, TSPO expression levels are altered in several different psychiatric disorders in which anxiety is the main symptom. This article reviews the primary and patent literature over the last decade concerning the development of novel TSPO ligands that have resulted effective in various models of anxiety, taking into special consideration their structure-activity relationships.