Oximes have been the subject of extensive research given their interesting anticancer activity. Steroids are also important scaffolds in drug discovery, not only due to their ability to penetrate cell membranes and bind to the nuclear and membrane receptors but also due to their suitability for structural modifications, allowing their use as cytotoxic and cytostatic anticancer agents. Combining the oxime group with the steroidal skeleton can be a suitable strategy to create novel anticancer agents. In this study, we designed and synthesised several novel steroidal oximes (OX1, OX2, OX3, OX3.1, OX4, EP2OX, FormOX and ExeOX) and evaluated their anticancer activity in three of the most incident and deadliest types of cancer, prostate (PC3), lung (H1299) and triple-negative breast (HCC1806) cancers. Selectivity using a normal human cell line, MRC-5, and hemocompatibility were also assessed. EP2OX was the most active compound in the studied cancer cell lines (IC50 values ranging from 1.13 to 3.70 µM) followed by OX1 (IC50 values ranging from 18.69 to 29.95 µM). Further studies with EP2OX and OX1 showed that the first induced DNA damage by double-strand breaks triggered by ROS production, leading to apoptosis/necrosis (depending on the concentration), while the second induced cell death by apoptosis regardless of the concentration. Moreover, both compounds showed some selectivity towards cancer cells and proved to be non-haemolytic. Our results reinforce the importance of steroidal oximes in the oncology field, namely our novel compound EP2OX which might be the starting point for a potential drug candidate for treating these types of cancer.