Anabolic androgenic steroids (AASs) are synthetic analogs of testosterone that can affect the immune system. Bodybuilders and sportsmen are at risk of abusing AASs. The aim of this study was to investigate the association between AASs use and coronavirus disease (COVID-19). This cross-sectional study included adults aged 18 years and above. Between 16 April and 23 June 2021, gym-attending participants completed an online survey. Multivariable analysis was performed using multiple logistic regression to identify factors associated with COVID-19 diagnosis and severity. Current use of AASs was reported in 7.5% of the 520 study participants. Approximately 20% of the study participants reported that they had contracted COVID-19, approximately half of whom reported moderate to severe disease. Contracting COVID-19 was reported more frequently by current users than by non-current users (35.90% vs. 18.92%, p = 0.011). Multivariable analysis revealed that contracting COVID-19 was nearly five times more likely among current users of AASs than among non-current users (OR = 4.89, 95% CI: 1.69–14.13). Current use of AASs was also associated with greater odds of moderate to severe COVID-19 disease (OR = 3.71, 95% CI: 1.04–13.21). Our findings suggest that the use of AASs could be an underlying risk factor for COVID-19 severity.