Do you have any solid info that such drugs are available over-the-counter in Canada? That would certainly be a surprise to me. I don't claim to know with certainty that they aren't, but I strongly doubt it.
I have read posts on other forums from individuals who claim to have legally and openly brought anabolics back from Mexico under some "personal use" exemption, but in my opinion they are either full of it or they simply got very lucky. I could find no info on the Border Patrol website that attested to what they claimed. Even if you can somehow import it under CBP's nose, (or right in front of it) you still need a valid U.S. prescription to possess it in the U.S. The mode of acquisition is kind of irrelevant when possession itself is illegal.
Not worth it in my opinion. Why not find a doc that will treat yoU?