Androgenic anabolic steroids (AAS) are prohibited in sports due to their anabolic effects. Doping control laboratories usually face the screening of AAS misuse by target methods based on MS detection. Although these methods allow for the sensitive and specific detection of targeted compounds and metabolites, the rest remain undetectable. This fact opens a door for cheaters, since different AAS can be synthesized in order to evade doping control tests. This situation was evidenced in 2003 with the discovery of the designer steroid tetrahydrogestrinone. One decade after this discovery, the detection of unknown AAS still remains one of the main analytical challenges in the doping control field. In this manuscript, the current situation in the detection of unknown AAS is reviewed. Although important steps have been made in order to minimize this analytical problem and different analytical strategies have been proposed, there are still some drawbacks related to each approach.