The verified hypothesis assumed that centrally administered neurosteroid, allopregnanolone (AL), could affect basal and/or stress-induced activity of the hypothalamic-pituitary-adrenal (HPA) axis in sheep. Four groups (n = 6 each) of luteal-phase sheep were intracerebroventricularly infused for 3 days with a vehicle without stress (control); a vehicle treated with stressful stimuli (isolation and partial movement restriction) on the third day; AL (4 × 15 µg/60 µL/30 min, at 30-min intervals) treated with stressful stimuli, and AL alone. Simultaneously, the push-pull perfusion of the infundibular nucleus/median eminence and plasma sample collection were performed. After the experiment, the sheep were killed to collect the hypothalamic and anterior pituitary (AP) tissues. Stressful stimuli evoked an increase in the expression of corticotropin-releasing hormone (CRH) and arginine vasopressin (AVP) mRNA in the hypothalamic paraventricular nucleus (PVN), and AVP receptor (V1b) and proopiomelanocortin (POMC) mRNA in the AP; the concentrations of perfusate CRH, and plasma adrenocorticotropic hormone (ACTH) and cortisol compared to controls. Conversely, the expression of the CRH receptor (CRHR1) mRNA in the AP was downregulated. AL decreased the expression of CRH and AVP mRNA in the PVN, and AVPRV1b and POMC mRNA in the AP in stressed sheep, compared to only stressed ones. There was also a reduction in perfusate CRH, and plasma ACTH and cortisol concentrations. AL alone decreased the expression of CRHR1 mRNA in the AP, and plasma cortisol concentration at the beginning of the collection period compared to controls. In conclusion, AL may function centrally as a suppressor of HPA axis activity in stressed sheep.