We have used alkanethiol self-assembly and dithiol layer-by-layer (LBL) self-assembly processes to prepare an Au nanoparticle (NP)-coated open tubular capillary electrochromatography (OTCEC) column for the separation of three neutral steroid drugs (testosterone, progesterone, and testosterone propionate). The CEC column was fabricated through LBL self-assembly of Au NPs on a 3-aminopropyltrimethoxysilane (APTMS)-modified fused-silica capillary and subsequent surface functionalization of the Au NPs through self-assembly of alkanethiols. We investigated the electrochromatographic properties of the resulting Au NP-coated CEC column using a "reversed phase" test mixture of three steroid drugs. We found that the key factors affecting the separation performance were the number of Au NP layers, the length of the carbon-atom chain of the alkanethiol self-assembled on the Au NPs, the percentage of organic modifier, and the pH of the running electrolyte. This study reveals that the self-assembly of alkanethiols and dithiols onto Au NPs provides stationary phases for CEC separation that are easy to prepare and whose retention behavior is highly controllable and reproducible. We believe that our findings will contribute to further studies of the application of nanotechnology to separation science.