receptor sites don't change in how they react to androgens, they merely just upregulate or downregulate. if you run a lot of steroids your androgen receptors in the muscles will upregulate, i believe the same applies to androgen receptors in other parts of the body and they can also downregulate if inactive for long enough. which all it really means is your cells birth more receptor sites or decrease the number of them.
i don't really know anything about psychological drugs, i don't touch any recreational drugs, lol. the effects of hormones on the brain are temporary, once there's a decrease or increase you'll have changes in mood, behavior or thinking in relation to the change in hormone. but there could be natural genetic changes to the body, like a thyroid tumor and as a result you produce excess thyroid hormone, which has a cascading effect on the rest of the body, such as increased level of somatostatin which signals a decrease in production of growth hormone, on top of the changed thyroid and probably cortisol levels which can greatly effect how a person feels. by and large though, using bodybuilding steroids aren't going to have any side effects that will persist after cessation by themselves (granted you still have endogenous androgens that may continue the effects of what the steroids caused, prime example is hair loss or growth from the bodies test production), but the lifestyle that comes along with steroid abuse would be the more likely culprit to cause long lasting effects to the body.