Ever increasing unmet medical requirements of the human race and the continuous fight for survival against variety of diseases give birth to novel molecules through research. As diseases evolve, different strategies are employed to counter the new challenges and to discover safer, more effective, and target-specific therapeutic agents. Among several novel approaches, bioconjugation, in which two chemical moieties are joined together to achieve noticeable results, has emerged as a simple and convenient technique for a medicinal chemist to obtain potent molecules. The steroid system has been extensively used as a privileged scaffold gifted with significantly diversified medicinal properties in the drug discovery and development process. Steroidal molecules are preferred for their rigidness and good ability to penetrate biological membranes. Slight alteration in the basic ring structure results in the formation of steroidal derivatives with a wide range of therapeutic activities. Steroids are not only active as such, conjugating them with various biologically active moieties results in increased lipophilicity, stability, and target specificity with decreased adverse effects. Thus, the steroid nucleus prominently behaves as a biological carrier for small molecules. The steroid bioconjugates offer several advantages such as synergistic activity with fewer side effects due to reduced dose and selective therapy. The steroidal bioconjugates have been widely explored for their usefulness against various disorders and have shown significant utility as anticancer, anti-inflammatory, anticoagulant, antimicrobial, insecticidal/pesticidal, antioxidant, and antiviral agents along with several other miscellaneous activities. This work provides a comprehensive review on the therapeutic progression of steroidal bioconjugates as medicinally active molecules. The review covers potential biological applications of steroidal bioconjugates and would benefit the wider scientific community in their drug discovery endeavors.