Well steroids are a class of molecule, so it varies. But in the case of something like testosterone for example, doctors are prescribing it when you don’t have enough (or for gender affirming care when you specifically want to create an excess) while athletes take it when they don’t need it.
In other cases, corticosteroids can be prescribed because they can reduce inflammation. This is important for things like asthma or allergic rhinitis (topical use for these) as well as rheumatoid arthritis (injections). They can also be immunosuppresive for transplant patients and people with autoimmune diseases. These are sometimes used for pain relief including by athletes.
Consider that these steroids are also produced by the body so exogenous steroids can mess with the systems that already exist. In men, exogenous testosterone can lead to atrophy of the testicles (since that’s where it’s produced). Chronic exogenous corticosteroid use (taken orally or via injection) can lead to adrenal insuffiency if dosing and scheduling aren’t properly managed. This is why they’re prescription medications.
But yeah a lot of the time I don’t think they’re actually different substances, except for being used for treatment vs abused unnecessarily.
I don’t know enough about PEDs to mention anything else, though.
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