The goal of this study was to assess various analytical approaches for the simultaneous and efficient extraction of steroid hormones (cortisone, cortisol, prednisolone, corticosterone, testosterone, 17-methyltestosterone, epitestosterone, progesterone) from urine samples prior to separation based on field-amplified sample stacking MEKC (FASS-MEKC). FASS-MEKC successfully allowed the compounds to be separated within 12 min using a BGE composed of 5 mM sodium tetraborate, 150 mM boric acid, 50 mM SDS, and 15% methanol. Therefore, many procedures such as solid-phase microextraction, SPE, and dispersive liquid-liquid microextraction (DLLME) were tested and compared using a multivariate tool, namely, cluster analysis. Finally, DLLME-FASS-MEKC was validated and proved a good linearity of calibration curves (R-2 above 0.9948) in a concentration range from 50 to 1000 ng/mL for all analytes. The LOD was established at 15 ng/mL, whereas the LOQ was 50 ng/mL. The intra- and interday precision, expressed as RSD%, did not exceed 9.97%. The DLLME-FASS-MEKC method was successfully applied to the analysis of urine samples from healthy volunteers and sportsmen. This methodology could prove to be useful in clinical studies and/or doping control depending on the steroid concentrations required in biomedical applications.