Background Anabolic-androgenic steroids (AASs) are abused primarily in the context of intense exercise and for the purposes of increasing muscle mass as opposed to drug-induced euphoria. AASs also modulate the HPA axis and may increase the reinforcing value of exercise through changes to stress hormone and endorphin release. To test this hypothesis, 26 adult males drawn from a larger study on AAS use completed a progressive ratio task designed to examine the reinforcing value of exercise relative to financial reinforcer. Method Sixteen experienced and current users (8 on-cycle, 8 off-cycle) and 10 controls matched on quantity x frequency of exercise, age, and education abstained from exercise for 24 hours prior to testing and provided 24-hour cortisol, plasma cortisol, ACTH, β-endorphin samples, and measures of mood, compulsive exercise, and body image. Results Between group differences indicated that on-cycle AAS users had the highest β-endorphin levels, lowest cortisol levels, higher ACTH levels than controls. Conversely, off-cycle AAS users had the highest cortisol and ACTH levels, but the lowest β-endorphin levels. Exercise value was positively correlated with β-endorphin and symptoms of AAS dependence. Conclusion The HPA response to AASs may explain why AASs are reinforcing in humans and exercise may play a key role in the development of AAS dependence.