Background Neurosteroids are synthesized both in brain and peripheral steroidogenic tissue from cholesterol or steroidal precursors. Neurosteroids have been shown to be implicated in neural proliferation, differentiation, and activity. Preclinical and clinical studies also suggest a modulatory role of neurosteroids in anxiety‐related phenotypes. However, little is known about the contribution of genetic variants in genes relevant for the neurosteroidogenesis to anxiety disorders. Methods We performed an association analysis of single nucleotide polymorphisms (SNPs) in five genes related to the neurosteroidal pathway with emphasis on progesterone and allopregnanolone biosynthesis (steroid‐5‐alpha‐reductase 1A (SRD5A1), aldo‐keto reductase family 1 C1‐C3 (AKR1C1‐AKR1C3) and translocator protein 18 kDA (TSPO) with panic disorder (PD) and dimensional anxiety in two German PD samples (cases N = 522, controls N = 1,115). Results Case–control analysis for PD and SNPs in the five selected genes was negative in the combined sample. However, we detected a significant association of anticipatory anxiety with two intronic SNPs (rs3930965, rs41314625) located in the gene AKR1C1 surviving correction for multiple testing in PD patients. Stratification analysis for gender revealed a female‐specific effect of the associations of both SNPs. Conclusions These results suggest a modulatory effect of AKR1C1 activity on anxiety levels, most likely through changes in progesterone and allopregnanolone levels within and outside the brain. In summary, this is the first evidence for the gender‐specific implication of the AKR1C1 gene in the expression of anticipatory anxiety in PD. Further analyses to unravel the functional role of the SNPs detected here and replication analyses are needed to validate our results.