This work focused on the possible alterations of the markers of the steroidal module of the athlete biological passport, considering samples of athletes declaring and not-declaring the supplementation of thyroid hormones (TH) in the Doping Control Form (DCF). Concentrations of 5α-androstane-3α,17β-diol (5α-Adiol), 5β-androstane-3α,17β-diol (5β-Adiol), testosterone (T), androsterone (A), etiocholanolone (Etio), epitestosterone (E), pregnanediol (PD), dehydroepiandrosterone (DHEA), and 11β-hydroxy-androsterone (OHA) were calculated using internal standards and external calibration by gas chromatography-tandem mass spectrometry. Also, ratios between the above biomarkers were also estimated. The data set was composed of samples from females and males declaring and not-declaring TH supplementation in the DCF. To corroborate these observations, a controlled urinary excretion study was carried out with multiple doses of sodium liothyronine (T3). Female data showed significant differences for the concentrations of 5α-Adiol, A, DHEA, E, OHA, and T and the ratio A/Etio between FD and FND groups, whereas the male groups only showed significant differences in OHA concentration. In both cases, males and females declaring the consumption of levothyroxine showed narrower data distribution and diminished percentiles from 17% to 67% with respect to the not-declaring corresponding groups (p < 0.05). Concentrations of 5α-metabolites showed a higher depression for the FND, and both FD and MD groups showed a peculiar behavior for the PD concentrations. The controlled study agreed with the observations, mainly for the female group with significant differences for concentrations of E, Etio, 5α-Adiol, and 5β-Adiol after TH administration. The interpretation of the steroid markers of the ABP should consider TH administrations.