Well, using external steroids, tends to suppress your own adrenal steroid production. There are several steroids in the adrenal cortex.

These are the steroids made in the adrenals:
http://www.vivo.colostate.edu/hbooks.../steroids.html

It is possible that commercial synthetic steroids suppress ACTH in the pituitary, and hence everything then gets out of whack.

This is what happens with patients taking long term opiates for chronic pain. The hypothalamic/pituitary axis gets suppressed, and the whole adrenal system becomes depressed.

Cortisol is necessary for just about everything. Too much= bad results --elevated blood sugars, and many other nasties.
too little= and all the functions that cortisol supports, suffer.

This is seen in people and other mammals suppressed for long periods, who then have the external steroid discontinued suddenly. They often DIE as a result! That is why people on oral steroids are tapered carefully off, to avoid what is called an adrenal crisis.