Sex steroids are known to regulate brain function and their role is so important that several diseases are strictly correlated with the onset of menopause when estrogen-progesterone deficiency makes neural cells much more vulnerable to toxic stimuli. Although in the past years several scientists have focused their studies on in vitro and in vivo effects of sex steroids on the brain, we are still far from complete knowledge. Indeed, contrasting results from large clinical trials have made the entire issue much more complicated. Currently we know that protective effects exerted by sex steroids depend on several factors among which the dose, the health of the cells and the type of molecule being used. In this review, we present an overview of the direct and indirect effects of estrogen and progesterone on the brain with specific focus on the molecular mechanisms by which these molecules act on neural cells.