Alzheimer’s disease (AD) is a multifactorial age-related neurodegenerative disease that today has no effective treatment to prevent or slow its progression. Neuroactive steroids, including neurosteroids and sex steroids, have attracted attention as potential suitable candidates to alleviate AD pathology. Accumulating evidence shows that they exhibit pleiotropic neuroprotective properties that are relevant for AD. This review focuses on the relationship between selected neuroactive steroids and the main aspects of AD disease, pointing out contributions and gaps with reference to sex differences. We take into account the regulation of brain steroid concentrations associated with human AD pathology. Consideration is given to preclinical studies in AD models providing current knowledge on the neuroprotection offered by neuroactive (neuro)steroids on major AD pathogenic factors, such as amyloid-β (Aβ) and tau pathology, mitochondrial impairment, neuroinflammation, neurogenesis and memory loss. Stimulating endogenous steroid production opens a new steroid-based strategy to potentially overcome AD pathology. This article is part of a Special Issue entitled Steroids and the Nervous System.