Progesterone (P4) and its metabolites are involved in several functions of the central nervous system (CNS). These steroids participate in neuronal excitability, reproduction and sexual behavior. P4 and its metabolites exert their effects on neurons and glial cells through several mechanisms that include the interaction of the steroids with: 1) intracellular specific receptors; 2) modulatory sites located in neurotransmitter receptors; and 3) ionic channels. By these mechanisms, modifications in gene expression, second messengers' production and ion conductance are induced. The activities of the P4 metabolites have been mainly related to membrane effects, whereas for P4, the transcriptional and translational effects are mediated by intracellular receptors. Thus, these steroids can modify the CNS functions at short (milliseconds), medium (minutes) or long term (hours or days) lapses. The knowledge of the molecular mechanisms involved in the actions of P4 and its metabolites in the CNS will contribute to the understanding of fundamental biological processes such as sexual behavior and reproduction, and it will open the possibility of alternative therapies in the treatment of some neurologic and psychiatric disorders such as epilepsy, anxiety, premenstrual syndrome, and cerebral tumors which possess hormonal regulation.