Increasing evidence suggests that skeletal muscles may play a role in the pathogenesis of obesity and associated conditions due to their impact on insulin resistance and systemic inflammation. Skeletal muscles, as well as adipose tissue, are largely recognized as endocrine organs, producing biologically active substances, such as myokines and adipokines. They may have either beneficial or harmful effects on the organism and its functions, acting through the endocrine, paracrine, and autocrine pathways. Moreover, the collocation of adipose tissue and skeletal muscles, i.e., the amount of intramuscular, intermuscular, and visceral adipose depots, may be of major importance for metabolic health. Traditionally, the generalized and progressive loss of skeletal muscle mass and strength or physical function, named sarcopenia, has been thought to be associated with age. That is why most recently published papers are focused on the investigation of the effect of obesity on skeletal muscle function in older adults. However, accumulated data indicate that sarcopenia may arise in individuals with obesity at any age, so it seems important to clarify the possible mechanisms linking obesity and skeletal muscle dysfunction regardless of age. Since steroids, namely, glucocorticoids (GCs) and sex steroids, have a major impact on the amount and function of both adipose tissue and skeletal muscles, and are involved in the pathogenesis of obesity, in this review, we will also discuss the role of steroids in the interaction of these two metabolically active tissues in the course of obesity.