Alcohol administration (1 g/kg, i.p.) increased the levels of the neurosteroids 3α-hydroxy-5α-pregnan-20-one (allopregnanolone) and 3α,21-dihydroxy-5α-pregnan-20-one (allotetrahydrodeoxycorticosterone, THDOC) in the cerebral cortex and hippocampus both in alcohol-naive Sardinian alcohol-preferring (sP) and -non-preferring (sNP) rats (two rat lines selectively bred for alcohol preference and non-preference, respectively). However, the increase reached several fold higher levels in sP than in sNP rats (6–24 vs. 2–11 fold the basal levels, respectively). Since the two neurosteroids are the most potent endogenous positive modulators of GABA_A receptors and elicit anxiolytic and rewarding effects, while voluntary alcohol consumption produces anxiolytic and rewarding effects in sP but not in sNP rats, the results suggest that the neurosteroids may play a role in the anxiolytic and rewarding effects of alcohol in sP rats.