The neuroactive steroid allopregnanolone (ALLO) is an endogenous positive allosteric modulator of GABA type A receptor (GABAAR), and the down-regulation of its biosynthesis have been attributed to the development of mood disorders, such as depression, anxiety and post-traumatic stress disorder (PTSD). ALLO mediated depression/anxiety involves GABAergic mechanisms and appears to be related to brain-derived neurotrophic factor (BDNF), dopamine receptor, glutamate neurotransmission, and Ca2+ channel. In the clinical, brexanolone, as a newly developed intravenous ALLO preparation, has been approved for the treatment of postpartum depression (PPD). In addition, traditional antidepressants such as selective serotonin reuptake inhibitor (SSRI) could reverse ALLO decline. Recently, the translocation protein (TSPO, 18 kDa), which involves in the speed-limiting step of ALLO synthesis, and ALLO derivatization have been identified as new directions for antidepressant therapy. This review provides an overview of ALLO researches in animal model and patients, discusses its role in the development and treatment of depression/anxiety, and directs its therapeutic potential in future.