Anabolic androgenic steroids (AAS) are illicitly administered to enhance athletic performance and body image. Although conferring positive actions on performance, steroid abuse is associated with changes in anxiety and aggression. AAS users are often keenly invested in understanding the biological actions of these drugs. Thus, mechanistic information on AAS actions is important not only for the biomedical community, but also for steroid users. Here we review findings from animal studies on the impact of AAS exposure on neural systems that are crucial for the production of anxiety and aggression, and compare the effects of the different classes of AAS and their potential signaling mechanisms, as well as context-, age- and sex-dependent aspects of their actions.