This work describes the development of two methods involving supported liquid extraction (SLE) sample treatment followed by ultra-high performance liquid chromatography or ultra-high performance supercritical fluid chromatography coupled to tandem mass spectrometry (UHPLC–MS/MS and UHPSFC–MS/MS) for the screening of 43 anabolic agents in human urine. After evaluating different stationary phases, a polar-embedded C18 and a diol columns were selected for UHPLC–MS/MS and UHPSFC-MS/MS, respectively. Sample preparation, mobile phases and MS conditions were also finely tuned to achieve highest selectivity, chromatographic resolution and sensitivity. Then, the performance of these two methods was compared to the reference routine procedure for steroid analyses in anti-doping laboratories, which combines liquid–liquid extraction (LLE) followed by gas chromatography coupled to tandem mass spectrometry (GC–MS/MS). For this purpose, urine samples spiked with the compounds of interest at five different concentrations were analyzed using the three analytical platforms. The retention and selectivity of the three techniques were very different, ensuring a good complementarity. However, the two new methods displayed numerous advantages. The overall procedure was much faster thanks to high throughput SLE sample treatment using 48-well plates and faster chromatographic analysis. Moreover, the highest sensitivity was attained using UHPLC–MS/MS with 98% of the doping agents detected at the lowest concentration level (0.1 ng/mL), against 76% for UHPSFC–MS/MS and only 14% for GC–MS/MS. Finally, the weakest matrix effects were obtained with UHPSFC–MS/MS with 76% of the analytes displaying relative matrix effect between −20 and 20%, while the GC–MS/MS reference method displayed very strong matrix effects (over 100%) for all of the anabolic agents.