Neuroactive steroids (NASs) are rapid acting steroids that produce nongenomic effects through interactions with neurotransmitter receptors, Although research on NASs has focused on their actions as negative or positive allosteric modulators at GABAA receptors, there can also be interactions with other receptors, including glutamate receptors, 5-HT3 receptors, nicotinic receptors, σ1 receptors and voltage- or non-voltage-gated calcium channels. Recent studies in animal models and in humans have investigated the role of NASs, including pregnenolone, pregnenolone sulfate, dehydroepiandrosterone, dehydroepiandrosterone sulfate, progesterone, and a number of 3-reduced NASs (e.g. allopregnanolone, 5--dihydroprogesterone, 3,5-tetrahydroprogesterone, 3,5-tetrahydrodeoxycorticosterone) in depressive disorders. Although inconsistencies exist, alterations in levels of these NASs have been reported to be associated with major depressive disorder, postpartum depression, and premenstrual dysphoric disorder. In some cases, the actions of the NASs may involve interactions with brain-derived neurotrophic factor (BDNF) and/or the hypothalamic-pituitary-adrenal (HPA) axis. Antidepressant drugs have been shown to have effects on the levels and/or metabolism of NASs, and some NASs have been reported to have antidepressant effects in their own right after administration to animal models or humans. Although interactions appear to be complex, increasing evidence substantiates the importance of NASs in the pathophysiology and treatment of depressive disorders, and research in this area is reviewed in this paper.