Studies with rodents and humans show the relationship between female sex hormones and cognitive/emotional tasks. However, despite the greater incidence of anxiety disorders in women, the data are still inconclusive regarding the mechanisms related to this phenomenon. We evaluated the effects of a classical anxiolytic/amnestic drug (diazepam; DZP) on female (at different estrous cycle phases) and male rats tested in the plus-maze discriminative avoidance task (PMDAT), that allows the concomitant evaluation of memory and anxiety-like behavior. Further, in order to investigate the role of progesterone and its metabolites in the effects of DZP in the PMDAT, female rats were pre-treated with the progesterone receptor antagonist mifepristone or the 5-alpha-reductase inhibitor finasteride. The main findings were: (1) DZP caused memory impairment and anxiolysis in both sexes, but only the highest dose induced the anxiolytic effect in females; (2) females in proestrus did not present the amnestic and anxiolytic effects of DZP (at 2.0 and 4.0 mg/kg, respectively) and (3) the co-administration of mifepristone reestablished both amnestic and anxiolytic effects of DZP, while finasteride reinstated the amnestic effect in proestrus female rats. These results suggest that changes in the endogenous levels of progesterone and its metabolites are important in the modulation of emotional/cognitive behavior in female rats. Based on the influence on different aspects of DZP action, the mechanisms related to this modulation are probably linked to GABAergic transmission, but this point remains to be investigated. Further, the variation in therapeutic and adverse effects of DZP depending on sex and hormonal state is of great relevance considering the higher prevalence of anxiety disorders in women.