The steroidal module of the athlete biological passport (ABP) introduced by the World Anti-Doping Agency (WADA) in 2014 includes six endogenous androgenic steroids and five of their concentration ratios, monitored in urine samples collected repeatedly from the same athlete, whose values are interpreted by a Bayesian model on the basis of intra-individual variability. The same steroid profile, plus dihydrotestosterone (DHT) and DHEA, was determined in 198 urine samples collected from an amateur marathon runner monitored over three months preceding an international competition. Two to three samples were collected each day and subsequently analyzed by a fully validated gas chromatography–mass spectrometry protocol. The objective of the study was to identify the potential effects of physical activity at different intensity levels on the physiological steroid profile of the athlete. The results were interpreted using principal component analysis and Hotelling's T² vs Q residuals plots, and were compared with a profile model based on the samples collected after rest. The urine samples collected after activity of moderate or high intensity, in terms of cardiac frequency and/or distance run, proved to modify the basal steroid profile, with particular enhancement of testosterone, epitestosterone, and 5α-androstane-3α,17β-diol. In contrast, all steroid concentration ratios were apparently not modified by intense exercise. The alteration of steroid profiles seemingly lasted for few hours, as most of the samples collected 6 or more hours after training showed profiles compatible with the “after rest” model. These observations issue a warning about the ABP results obtained immediately post-competition.