Among sex steroid hormones, progesterone and estradiol have a wide diversity of physiological activities that target the nervous system. Not only are they carried by the blood stream, but also they are locally synthesized in the brain and for this reason, estradiol and progesterone are considered 'neurosteroids'. The physiological actions of both hormones range from brain development and neurotransmission to aging, illustrating the importance of a deep understanding of their mechanisms of action. In this review, we summarize key roles that estradiol and progesterone play in the brain. As numerous reports have confirmed a substantial neuroprotective role for estradiol in models of neurodegenerative disease, we focus this review on traumatic brain injury and stroke models. We describe updated data from receptor and signaling events triggered by both hormones, with an emphasis on the mechanisms that have been reported as 'rapid' or 'cytoplasmic actions'. Data showing the therapeutic effects of the hormones, used alone or in combination, are also summarized, with a focus on rodent models of middle cerebral artery occlusion (MCAO). Finally, we draw attention to evidence that neuroprotection by both hormones might be due to a combination of 'cytoplasmic' and 'nuclear' signaling.