Steroid detection and identification remain key issues in toxicology, drug testing, medical diagnostics, food safety control, and doping control. In this study, we evaluate the capabilities and usefulness of analyzing non‐hydrolyzed sulfated steroids with gas chromatography−mass spectrometry (GC–MS) instead of the conventionally applied liquid chromatography−mass spectrometry (LC–MS) approach. Sulfates of 31 steroids were synthesized and their MS and chromatographic behavior studied by chemical ionization−GC−triple quadrupole MS (CI−GC‐TQMS) and low energy−electron ionization−GC−quadrupole time‐of‐flight−MS (LE−EI−GC−QTOF−MS). The collected data shows that the sulfate group is cleaved off in the injection port of the GC–MS, forming two isomers. In CI, the dominant species (ie, [MH – H2SO4]+ or [MH – H4S2O8]+ for bis‐sulfates) is very abundant due to the limited amount of fragmentation, making it an ideal precursor ion for MS/MS. In LE−EI, [M – H2SO4].+ and/or [M – H2SO4 – CH3].+ are the dominant species in most cases. Based on the common GC–MS behavior of non‐hydrolyzed sulfated steroids, two applications were evaluated and compared with the conventionally applied LC–MS approach; (a) discovery of (new) sulfated steroid metabolites of mesterolone and (b) expanding anabolic androgenic steroid abuse detection windows. GC–MS and LC–MS analysis of non‐hydrolyzed sulfated steroids offered comparable sensitivities, superseding these of GC–MS after hydrolysis. For non‐hydrolyzed sulfated steroids, GC–MS offers a higher structural elucidating power and a more straightforward inclusion in screening methods than LC–MS.