Objective The purpose of this study was to investigate the psychiatric morbidity among men with abuse of anabolic steroids. Methods The design is a retrospectively matched cohort study. Five hundred and fourty-five males, who tested positive for anabolic steroids in Danish fitness centers during the period January 3, 2006 to March 1, 2018, were matched with 5450 randomly chosen male controls. Data was cross-referenced with seven national registers pertaining to information about education, employment status, and psychiatric comorbidity. Main outcomes and measures were prescription of psychopharmacological treatment. Results The incidence of treatment with anxiolytics (HR: 2.34, 95% CI: 1.62-3.38) and antipsychotics (HR: 2.69, 95% CI: 1.99-3.63) displayed a remarkable increase in the years following doping sanction, compared to the control group. The prevalence of antidepressant use was already markedly elevated several years before doping sanction, but also displayed a higher incidence in the years following sanction (HR: 1.65, 95% CI: 1.28-2.13). The associations remained highly significant after controlling for socioeconomic factors. Conclusion Anabolic steroids use is strongly associated with psychiatric morbidity.