The NFL tests for steroids and more recently HGH. I believe the Olympics does as well.
Outside of sports, steroid testing is unlikely to become routine for a couple reasons:
First, steroids are a wide class, and a test would need to flag controlled substances (i.e. testosterone and controlled analogs) and not for instance DHEA (an OTC analog and nutritional supplement).
Second, testosterone is most often prescribed to 50-plus men and women and transgender men for concerns involving their private area. That makes two protected classes that can argue that in having to divulge their legal use pre-employment, they suffered class AND sex discrimination by being forced to divulge an intimate detail more often than others.