Your neighbor to the south has a dual tiered criminal system. Something may be legal on the federal level and a felony on the state level. We have 50 states, so it would be a huge task to answer that question as it relates to your neighbor to the south.
Generally speaking, the odds of getting caught with these things are low, but the penalties can be quite high. AAS possession is a felony in many states. I even know a guy who went to prison for several years over a small amount. In other states, it is a misdemeanor. On the federal level, AAS is typically a misdemeanor, but they try to tag you with "intent to distribute" or sentencing enhancements based on the amount, with the quantities having been set for other drugs, like cocaine. Obviously, 1000 doses of cocaine is a lot. 1000 5mg dianabol pills is barely enough for personal use, but the government prosecutors do not care about fairness. They just want to get you. If you are in a state where possession is a felony, they will frequently try to turn it over to locals, who get all excited to go after you on serious felony charges with a case just handed to them.
HGH may not be a crime on the federal level at all, unless they can show you are dispensing it, but it is frequently a crime on the state level, so all of the comments above still apply.