Steroids and their derivatives have been the subject of extensive research among investigators due to their wide range of pharmacological properties, in which steroidal oximes are included. Oximes are a chemical group with the general formula R₁R₂C=N−OH and they exist as colorless crystals and are poorly soluble in water. Oximes can be easily obtained through the condensation of aldehydes or ketones with various amine derivatives, making them a very interesting chemical group in medicinal chemistry for the design of drugs as potential treatments for several diseases. In this review, we will focus on the different biological activities displayed by steroidal oximes such as anticancer, anti-inflammatory, antibacterial, antifungal and antiviral, among others, as well as their respective mechanisms of action. An overview of the chemistry of oximes will also be reported, and several steroidal oximes that are in clinical trials or already used as drugs are described. An extensive literature search was performed on three main databases—PubMed, Web of Science, and Google Scholar.