Studies of steroid modifications catalyzed by microbial whole cells represent a well-established research area in white biotechnology. Still, advances over the last decade in genetic and metabolic engineering, whole-cell biocatalysis in non-conventional media, and process monitoring raised research in this field to a new level. This review summarizes the data on microbial steroid conversion obtained since 2003. The key reactions of structural steroid functionalization by microorganisms are highlighted including sterol side-chain degradation, hydroxylation at various positions of the steroid core, and redox reactions. We also describe methods for enhancement of bioprocess productivity, selectivity of target reactions, and application of microbial transformations for production of valuable pharmaceutical ingredients and precursors. Challenges and prospects of whole-cell biocatalysis applications in steroid industry are discussed.