Neurotrophins, such as brain-derived neurotrophic factor (BDNF) and neurosteroids, including allopregnanolone (ALLO), play critical roles in modulating neuronal activity in the brain. Levels of these compounds dynamically fluctuate in response to physiological and environmental conditions, particularly stress, suggesting complex regulatory interactions. This study aimed to explore the effects of acute stress and ALLO (individually and combined) on hippocampal expression of BDNF, its TrkB receptor, and other neurotrophins in sheep, a translational large animal model. Adult, luteal-phase sheep (n = 24), implanted with a guide cannula into the third brain ventricle, were divided into four experimental groups: (i) 3 days of Ringer-Locke solution (RL) infusion as the control; (ii) 3 days of RL infusion with 4 h acute stress on day three; (iii) 3 days of ALLO infusion (4 × 15 µg/60 µL/30 min) with 4 h acute stress on day three; and (iv) 3 days of ALLO infusion alone (n = 6 per group). Both acute stress and ALLO alone significantly reduced BDNF concentration and transcript abundance in the hippocampal CA1 and CA3 fields compared to the control group. The combined application of both stress and ALLO resulted in decreased levels of these parameters, except for BDNF concentration in the CA3 region. Additionally, TrkB mRNA expression in both hippocampal fields was significantly reduced in all treatment groups. Changes in mRNA levels for other neurotrophins, including nerve growth factor (NGF) and neurotrophin 3 (NT3) and 4 (NT4), varied under experimental conditions. While an inhibitory effect was predominant, NGF expression in the CA1 region remained unaffected by stress or ALLO. Interestingly, stress alone induced a significant increase in NT4 mRNA expression in the CA3 field compared to the control. In conclusion, the study demonstrated that a 4 h acute stress exposure inhibited the synthesis of BDNF, TrkB, and several other neurotrophins in the sheep hippocampus. Furthermore, ALLO, whose increased levels are highly correlated with the initial stress response, may serve as a mediator of this stress effect, temporarily preventing over-stimulation of hippocampal BDNF release and signaling.