Neurosteroids play a crucial role in stress, alcohol dependence and withdrawal, and other physiological and pharmacological actions by potentiating or inhibiting neurotransmitter action. This review article focuses on data showing that the interaction among stress, ethanol, and neuroactive steroids may result in plastic molecular and functional changes of GABAergic inhibitory neurotransmission. The molecular mechanisms by which stress–ethanol–neuroactive steroids interactions can produce plastic changes in GABA A receptors have been studied using different experimental models in vivo and in vitro in order to provide useful evidence and new insights into the mechanisms through which acute and chronic ethanol and stress exposure modulate the activity of GABAergic synapses. We show detailed data on a) the effect of acute and chronic stress on peripheral and brain neurosteroid levels and GABA A receptor gene expression and function; b) ethanol-stimulated brain steroidogenesis; c) plasticity of GABA A receptor after acute and chronic ethanol exposure. The implications of these new mechanistic insights to our understanding of the effects of ethanol during stress are also discussed. The understanding of these neurochemical and molecular mechanisms may shed new light on the physiopathology of diseases, such as anxiety, in which GABAergic transmission plays a pivotal role. These data may also lead to the need for new anxiolytic, hypnotic and anticonvulsant selective drugs devoid of side effects.