In human beings, sex differences in susceptibility to mood and anxiety disorders emerge during adolescence, with females exhibiting greater susceptibility than males. This sex differences in adolescent susceptibility is thought to be influenced by peri-pubertal fluctuations in gonadal hormones, with fluctuations in ovarian hormones enhancing susceptibility in females, and testicular hormones providing protective effects in males. However, the exact mechanisms involved are not fully understood. In a series of studies on laboratory rats, we examined the emergence of sex differences in anxiety-like behaviour during adolescence, and we experimentally manipulated gonadal hormone levels during adolescence and examined the immediate and long-term effects on behaviour and brain function. Gonadal hormones were suppressed either by using a gonadotrophin-releasing hormone (GnRH) antagonist (Antide) or by surgical gonadectomies. The results showed that adolescent exposure of males to testicular hormones influenced response to novelty and male-typical social interactions in both adolescence and adulthood; for instance, suppression of adolescent gonadal hormone levels reduced rough-and-tumble play and preference for novel objects in adolescent males, while males that had been castrated before adolescence (i.e., not exposed to testicular hormones during adolescence) were more exploratory in novel environments and interacted less with female social partners than males that had been castrated after puberty. These results provide support for the hypothesis that adolescence is a sensitive period of life, during which exposure to testicular hormones has both ‘activational’ and ‘organisational’ effects on behaviour. In contrast, manipulating gonadal hormones in adolescent females had relatively little impact on behavioural development. qPCR analyses revealed that the behavioural changes in males were independent of changes in hormone receptor gene expression in the hypothalamus, hippocampus and amygdala. Future studies that elucidate the actions of gonadal hormones on the developing adolescent brain will increase our understanding of sex differences in susceptibility to a range of neuropsychological disorders.