CNN-based steganalysis has recently achieved very good performance in detecting content-adaptive steganography. At the same time, recent works have shown that, by adopting an approach similar to that used to build adversarial examples, a steganographer can adopt an adversarial embedding strategy to effectively counter a target CNN steganalyzer. In turn, the good performance of the steganalyzer can be restored by retraining the CNN with adversarial stego images. A problem with this model is that, arguably, at training time the steganalizer is not aware of the exact parameters used by the steganograher for adversarial embedding and, vice versa, the steganographer does not know how the images that will be used to train the steganalyzer are generated. In order to exit this apparent deadlock, we introduce a game theoretic framework wherein the problem of setting the parameters of the steganalyzer and the steganographer is solved in a strategic way. More specifically, a non-zero sum game is first formulated to model the problem, and then instantiated by considering a specific adversarial embedding scheme setting its operating parameters in a game-theoretic fashion. Our analysis shows that the equilibrium solution of the non zero-sum game can be conveniently found by solving an associated zero-sum game, thus reducing greatly the complexity of the problem. Then we run several experiments to derive the optimum strategies for the steganographer and the staganalyst in a game-theoretic sense, and to evaluate the performance of the game at the equilibrium, characterizing the loss with respect to the conventional non-adversarial case. Eventually, by leveraging on the analysis of the equilibrium point of the game, we introduce a new strategy to improve the reliability of the steganalysis, which shows the benefits of addressing the security issue in a game-theoretic perspective.