The pregnenolone-progesterone-allopregnanolone pathway is receiving increasing attention in research on the role of neurosteroids in pathophysiology, particularly in stress-related and drug use disorders. These disorders involve an allostatic change that may result from deficiencies in allostasis or adaptive responses, and may be downregulated by adjustments in neurotransmission by neurosteroids. The following is an overview of findings that assess how pregnenolone and/or allopregnanolone concentrations are altered in animal models of stress and after consumption of alcohol or cannabis-type drugs, as well as in patients with depression, anxiety, post-traumatic stress disorder or psychosis and/or in those diagnosed with alcohol or cannabis use disorders. Preclinical and clinical evidence shows that pregnenolone and allopregnanolone, operating according to a different or common pharmacological profile involving GABAergic and/or endocannabinoid system, may be relevant biomarkers of psychiatric disorders for therapeutic purposes. Hence, ongoing clinical trials implicate synthetic analogs of pregnenolone or allopregnanolone, and also modulators of neurosteroidogenesis.