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Most of the health supplements that have antiinflammatory and immunomodulatory effects act on steroid type receptors within the body. Hence use along with steroids (including anabolic steroids) can result in toxicity. This is the reason why such medications should always be taken after due advice from a medical professional.
All antioxidants are not steroids. Antioxidants like Vitamin E, B complex vitamins, beta carotenoids, poly unsaturated fatty acids, etc are very safe and can be taken at all times, including when on steroids.