Sex differences in hypothalamic‐pituitary‐adrenal (HPA) axis activity are well established in rodents. In addition to glucocorticoids, stress also stimulates the secretion of progesterone and deoxycorticosterone (DOC) from the adrenal gland. Neuroactive steroid metabolites of these precursors can modulate HPA axis function; however, it is not known whether levels of these steroids differ between male and females following stress. In the present study, we aimed to establish whether neuroactive steroid concentrations in the brain display sex‐ and/or region‐specific differences under basal conditions and following exposure to acute stress. Brains were collected from male and female rats killed under nonstress conditions or following exposure to forced swimming. Liquid chromatography‐mass spectrometry was used to quantify eight steroids: corticosterone, DOC, dihydrodeoxycorticosterone (DHDOC), pregnenolone, progesterone, dihydroprogesterone (DHP), allopregnanolone and testosterone in plasma, and in five brain regions (frontal cortex, hypothalamus, hippocampus, amygdala and brainstem). Corticosterone, DOC and progesterone concentrations were significantly greater in the plasma and brain of both sexes following stress; however, the responses in plasma were greater in females compared to males. This sex difference was also observed in the majority of brain regions for DOC and progesterone but not for corticosterone. Despite observing no stress‐induced changes in circulating concentrations of pregnenolone, DHDOC or DHP, concentrations were significantly greater in the brain and this effect was more pronounced in females than males. Basal plasma and brain concentrations of allopregnanolone were significantly higher in females; moreover, stress had a greater impact on central allopregnanolone concentrations in females. Stress had no effect on circulating or brain concentrations of testosterone in males. These data indicate the existence of sex and regional differences in the generation of neuroactive steroids in the brain following acute stress, especially for the 5α‐reduced steroids, and further suggest a sex‐specific expression of steroidogenic enzymes in the brain. Thus, differential neurosteroidogenesis may contribute to sex differences in HPA axis responses to stress.