According to drugs.com, it is not advisable to drink alcohol while taking Prednisone, one of the more commonly prescribed oral steroids. Many drugs can interact with Prednisone, including antibiotics, birth control pills and St. John's wort.
As the Independent Alcoholism Help Council points out, the issue is not entirely clear-cut. Many steroids have small amounts of alcohol as part of their mixture in order to make them work effectively. Taking large amounts of alcohol and steroids together can lead to gastrointestinal bleeding or ulcers. These problems tend to be more prevalent with people who have higher tolerances for alcohol. Given that the number of unknowns involved, the safest course of action is to abstain from drinking while taking steroids.