Your question is a bit more vague than you probably realize in order to be answered. The FDA would define a steroid in general as just that, a steroid, which means it is a terpenoid lipid in a specific configuration with 4 carbon rings. There are a number of groups (Animal, Plant, and Fungal steroids) and subgroups within those. (ex. Animal -> Vertebrate -> Hormonal -> Sex -> Androstanes -> Testosterone).
Now you are probably talking about anabolic steroids, which means a steroid that promotes anabolism, again this can span across several groups as well. Testosterone is an anabolic steroid, meaning that it promotes tissue growth and it is classified as a steroid. HGH and insulin are both anabolic, but neither are steroids. Androstanediol and it's precursors which were formerly sold as "Andro" are indeed anabolic as well as steroids, while their anabolic effects are relatively mild (albeit farily androgenic), they readily dehydrogenize with the 3b-Hydroxysteroid dehydrogenase enzyme, thus converting to testosterone, which is much more anabolic. The same thing went for Androstenedione which also dehydrogenizes, but instead with the 17b-hydroxysteroid dehydrogenase enzyme, again to testosterone. That is why these qualified as "steroids" with the pro-hormone law that was passed some years ago.
So there are specific guildlines for what is considered an "anabolic steroid", however the term "performance enchancer" is more accurate for many of today's peptides and hormones being used.