Epigenetic changes in the nervous system are emerging as a critical component of enduring effects induced by early life experience, hormonal exposure, trauma and injury, or learning and memory. Sex differences in the brain are largely determined by steroid hormone exposure during a perinatal sensitive period that alters subsequent hormonal and nonhormonal responses throughout the lifespan. Steroid receptors are members of a nuclear receptor transcription factor superfamily and recruit multiple proteins that possess enzymatic activity relevant to epigenetic changes such as acetylation and methylation. Thus steroid hormones are uniquely poised to exert epigenetic effects on the developing nervous system to dictate adult sex differences in brain and behavior. Sex differences in the methylation pattern in the promoter of estrogen and progesterone receptor genes are evident in newborns and persist in adults but with a different pattern. Changes in response to injury and in methyl-binding proteins and steroid receptor coregulatory proteins are also reported. Many steroid-induced epigenetic changes are opportunistic and restricted to a single lifespan, but new evidence suggests endocrine-disrupting compounds can exert multigenerational effects. Similarly, maternal diet also induces transgenerational effects, but the impact is sex specific. The study of epigenetics of sex differences is in its earliest stages, with needed advances in understanding of the hormonal regulation of enzymes controlling acetylation and methylation, coregulatory proteins, transient versus stable DNA methylation patterns, and sex differences across the epigenome to fully understand sex differences in brain and behavior.