The Yankees slugger also said he isn't sure he's worth his record contract, and described being "white like a ghost" when news of his opting out of his deal with New York broke during Game 4 of the World Series.
Rodriguez's interview was aired just three days after former Sen. George Mitchell's report on performance-enhancing drugs in baseball was released. Jose Canseco, the former Oakland slugger who was one of the first to admit using steroids, said he couldn't believe Rodriguez wasn't included in the former Senate majority leader's findings.
Rodriguez answered "No" when asked whether he's ever used steroids, human growth hormone or any other performance-enhancing substance.
"I've never felt overmatched on the baseball field," he said. "... I felt that if I did my, my work as I've done since I was, you know, a rookie back in Seattle, I didn't have a problem competing at any level."
The 32-year-old Rodriguez won his third AL MVP award last month after hitting .314 with 54 homers and 156 RBIs. He finalized a $275 million, 10-year contract with New York last week after opting out of his deal on Oct. 28.
Rodriguez said the way the opt out was handled was a nightmare, and he understood why baseball fans and officials were upset with how it was handled.