Detectives executed warrants at World Gym on Young Street on Friday morning.

A home on Sackville Street was also raided.

Police spent hours at the gym, with attendees blocked from entering the building as it was searched.

A spokeswoman confirmed the investigation centred on the "alleged importation of prohibited drugs, namely steroids, to the Albury area".

Charges hadn't been laid by Friday afternoon, but two people were assisting investigators.

"Officers from Murray River Police District executed warrants at a home on Sackville Street and a gym on Young Street, Albury," the spokeswoman said.

IN OTHER NEWS:

"A number of items were seized, including steroids, CBS oil and other performance enhancing supplements.

"These items will undergo forensic examination.

"Two men, aged 22 and 25, are currently assisting police with inquiries."

Detectives could be seen removing multiple bags of evidence from the gym.

The venue was closed for several hours with staff sitting outside during the search warrant.

A staff member at the gym declined to comment.

In an odd twist, the venue had been used by visiting NSW officers when the border with Victoria was closed last year.