The treatment with finasteride (i.e., an inhibitor of 5α-reductase) may be associated with different side effects (i.e., depression, anxiety, cognitive impairment and sexual dysfunction) inducing the so-called post finasteride syndrome (PFS). Moreover, previous observations in PFS patients and an experimental model showed alterations in gut microbiota populations, suggesting an inflammatory environment. To confirm this hypothesis, we have explored the effect of chronic treatment with finasteride (i.e., for 20 days) and its withdrawal (i.e., for 1 month) on the levels of steroids, neurotransmitters, pro-inflammatory cytokines and gut permeability markers in the colon of adult male rat. The obtained data demonstrate that the levels of allopregnanolone (ALLO) decreased after finasteride treatment and after its withdrawal. Following the drug suspension, the decrease in ALLO levels correlates with an increase in IL-1β and TNF-α, serotonin and a decrease in dopamine. Importantly, ALLO treatment is able to counteract some of these alterations. The relation between ALLO and GABA-A receptors and/or pregnenolone (ALLO precursor) could be crucial in their mode of action. These observations provide an important background to explore further the protective effect of ALLO in the PFS experimental model and the possibility of its translation into clinical therapy.