There is no doubt in my mind that steroids effect the mind. When on most guys feel confident, aggressive, happy and full of energy. When you go completely off as the drugs leave your system you feel meek, depressed, nervous, and have a feeling of not feeling well as your body goes catabolic.
Hormones affect emotions heavily. Both estrogen and adrogens.
This is one of the reasons I feel that steroids are addictive. Who wants to feel and look like shit when your are off cycle for a couple of months? Start again then you start feeling great. I never really heard anyone say they are addictive but I believe they are.
Of course there is no research. No one is going to study recreational use of bodybuilding drugs by the sub culture of drug using bodybuilders.