Non-prescription steroid use can negatively impact adolescent physical and mental health and wellbeing. Determining correlates of this risk behavior is needed to help mitigate its prevalence. Two potential correlates are physical activity and school safety. The purpose of this study was to examine the associations of physical activity, school safety, and non-prescription steroid use within a sample of adolescents from the 2015–2019 US National Youth Risk Behavior Survey (YRBS). A multi-stage cluster sampling procedure yielded a representative sample of US adolescents from the 2015–2019 YRBS (n = 44,066; 49.6% female). Two latent variables indicating physical activity and unsafe schools were the independent variables. The dependent variable was a self-report of non-prescription steroid use. A weighted structural equation model examined the associations between physical activity and unsafe schools with non-prescription steroid use, controlling for age, sex, BMI percentile, race/ethnicity, and sexual minority status. The latent physical activity variable did not associate with non-prescription steroid use (β = 0.007, 95%CI: −0.01–0.02, p = 0.436); however, the unsafe schools latent variable did associate with non-prescription steroid use (β = 0.64, 95%CI: 0.59–0.69, p < 0.001). An unsafe school environment may be a determinant of non-prescription steroid use in adolescents. Physical activity behaviors did not associate with steroid use.