Many steroid hormones can be considered as potential biomarkers and their determination in body fluids can create opportunities for the rapid diagnosis of many diseases and disorders of the human body. Most existing methods for the determination of steroids are usually time- and labor-consuming and quite costly. Therefore, the aim of analytical laboratories is to develop a new, relatively low-cost and rapid implementation methodology for their determination in biological samples. Due to the fact that there is little literature data on concentrations of steroid hormones in urine samples, we have made attempts at the electrophoretic determination of these compounds. For this purpose, an extraction procedure for the optimized separation and simultaneous determination of seven steroid hormones in urine samples has been investigated. The isolation of analytes from biological samples was performed by liquid-liquid extraction (LLE) with dichloromethane and compared to solid phase extraction (SPE) with C18 and hydrophilic-lipophilic balance (HLB) columns. To separate all the analytes a micellar electrokinetic capillary chromatography (MECK) technique was employed. For full separation of all the analytes a running buffer (pH 9.2), composed of 10 mM sodium tetraborate decahydrate (borax), 50 mM sodium dodecyl sulfate (SDS), and 10% methanol was selected. The methodology developed in this work for the determination of steroid hormones meets all the requirements of analytical methods. The applicability of the method has been confirmed for the analysis of urine samples collected from volunteers—both men and women (students, amateur bodybuilders, using and not applying steroid doping). The data obtained during this work can be successfully used for further research on the determination of steroid hormones in urine samples.