The brain is not only the target of steroid hormones but also is able to locally synthesize steroids de novo. Evidence of the local production of steroids in the brain has been accumulating in various vertebrates, including teleost fish, amphibia, birds, rodents, non-human primates, and humans. In this review, we mainly focus on the local production of sex steroids in the hippocampal neurons of adult rodents (rats and mice), a center for learning and memory. From the data of the hippocampus of adult male rats, hippocampal principal neurons [pyramidal cells in CA1–CA3 and granule cells in dentate gyrus (DG)] have a complete system for biosynthesis of sex steroids. Liquid chromatography with tandem-mass-spectrometry (LC-MS/MS) enabled us to accurately determine the levels of hippocampal sex steroids including 17β-estradiol (17β-E2), testosterone (T), and dihydrotestosterone (DHT), which are much higher than those in blood. Next, we review the steroid synthesis in the hippocampus of female rats, since previous knowledge had been biased toward the data from males. Recently, we clarified that the levels of hippocampal steroids fluctuate in adult female rats across the estrous cycle. Accurate determination of hippocampal steroids at each stage of the estrous cycle is of importance for providing the account for the fluctuation of female hippocampal functions, including spine density, long-term potentiation (LTP) and long-term depression (LTD), and learning and memory. These functional fluctuations in female had been attributed to the level of circulation-derived steroids. LC-MS/MS analysis revealed that the dendritic spine density in CA1 of adult female hippocampus correlates with the levels of hippocampal progesterone and 17β-E2. Finally, we introduce the direct evidence of the role of hippocampus-synthesized steroids in hippocampal function including neurogenesis, LTP, and memory consolidation. Mild exercise (2 week of treadmill running) elevated synthesis of DHT in the hippocampus, but not in the testis, of male rats, resulting in enhancement of neurogenesis in DG. Concerning synaptic plasticity, hippocampus-synthesized E2 is required for LTP induction, whereas hippocampus-synthesized DHT is required for LTD induction. Furthermore, hippocampus-synthesized E2 is involved in memory consolidation tested by object recognition and object placement tasks, both of which are hippocampus-dependent.