Sax starred at James Marshall High school (now known as River City High School) in West Sacramento from 1975 to 1978 before being drafted by the Los Angeles Dodgers on June 6, 1978 in the ninth round of the 1978 Amateur Draft 1978. Sax was a late season call up in 1981, playing 31 games. Sax broke into the majors as a regular in 1982, earning the National League Rookie of the Year award. Throughout his career, Sax was on the All-Star team five times and had a batting average over .300 in three seasons. He had great success on the basepaths, stealing over 40 bases in six different seasons, finishing with a career total of 444 stolen bases. He also set the Yankees team record for most singles in a season (171 in 1989).

Sax has two World Series rings, both with the Los Angeles Dodgers in 1981 and 1988. Sax was also a higher-up in the Players Association during his career. He controversially opined that major league players should not speak to or assist anyone who was a replacement player during the infamous 1994–95 Major League Baseball strike and later joined a club when the strike had ended. He also opined that such players should be denied pensions by the union.

Though never regarded as one of the top fielding second basemen in the league, Steve Sax inexplicably became incapable of making routine throws to first base in 1983, committing 30 errors that season. This is referred to in baseball terminology as “Steve Sax Syndrome”, the fielder’s variant of “Steve Blass disease,” named after the Pirates pitcher who suffered a similar breakdown of basic mechanics (also known as “The Yips”). As his accuracy suffered, fans sitting behind the first base dugout began wearing batting helmets as mock protection. (Teammate Pedro Guerrero, an outfielder pressed into service at third base in 1983, once reportedly stated that his first thought whenever he was in the field was “I hope they don’t hit it to me”, while his second thought was “I hope they don’t hit it to Sax.”) By 1989, however, Sax seemed to be completely “cured”, leading the American League in both fielding percentage and double plays.

He briefly ran for a seat in the California State Assembly 5th District as a Republican in 1996. Sax later dropped out of the race, when his divorce became publicized. A black belt, he was also a part-owner of a martial arts studio in Roseville, California.

Sax piloted a new networking site called allsportsconnection.com. Sax has made television cameos, including the “Homer at the Bat” episode of The Simpsons, as well as episodes of Square Pegs, Who’s the Boss, Hollywood Squares and Sabrina The Teenage Witch. He has also been on the Fox News show Hannity. Sax played a supporting character in the 1998 movie Ground Control.

In December 2012 he was named the first base coach for the Arizona Diamondbacks. The Diamondbacks fired Sax on October 8, 2013.

As of 2015, Sax returned to the Los Angeles Dodgers organization as an Alumni member of the team’s Community Relations team.

Steve is the brother of another former Major League Baseball player, Dave Sax, who also played for the Dodgers. He is the father of Lauren Ashley (Sax) Bliss and son John Jeremy Sax. His nephew David Sax Jr. (son of Dave Sax) was seen on an episode of Intervention in 2015, .