While it will help protect your liver, the active component in Milk Thistle effectively reduces nuclear androgen receptor levels and down-regulates several androgen-regulated genes primarily by inhibiting the transactivation activity of the AR, and can also inhibit nuclear localisation of the androgen receptor.
Milk Thistle will also have an inhibitory effect on the insulin-like growth factor receptor-mediated signaling pathway. All in all, there seems to be a reasonable expectation that this stuff is anti-anabolic. It's a real loser to include during a cycle. A much better alternative is Prunella Vulgaris, which has been shown to protect liver cells and activate the Aryl hydrocarbon receptor, thereby allowing it to work as an anti-oestrogen as well.
As long as you're going to take oral steroids, you may as well take a liver protector that isn't going to hinder your gains.