From medicine to sport, selective androgen receptor modulators (SARMs) have represented promising applications. The ability of SARMs to selectively interact with the androgen receptor (AR) indicates that this kind of molecule can interfere with numerous physiological and pathological processes controlled by the AR regulatory mechanism. However, critical concerns in relation to safety and potential side effects of SARMs remain under discussion and investigation. SARMs, being hydrophobic/organic compounds, can be subjected to hydrophobic interactions. In this perspective, we hypothesize that SARMs interact with lipid membranes, producing significant physical and chemical changes that could be associated with several effects that SARMs represent in biological systems. In this context, the effect of SARMs on lipid membranes mediated by non-specific interactions is little explored. Here, we report significant information related to the changes that ostarine, ligandrol, andarine, and cardarine produce in the thermodynamic properties of a lipid biomembrane model. Physical changes and chemical interactions of the systems were investigated by differential scanning calorimetry (DSC), dynamic light scattering (DLS), attenuated total reflectance-Fourier transform infrared spectroscopy (ATR-FTIR), and theoretical calculations implementing density functional theory (DFT). We demonstrate that ostarine, ligandrol, andarine, and cardarine can strongly interact with a lipid biomembrane model composed of 1,2-dimyristoyl-sn-glycero-3-phosphocholine (DMPC), and accordingly, these molecules can be incorporated into the polar/hydrophobic regions of the lipid bilayer. By employing theoretical calculations, we gained insights into the possible electrostatic interactions between SARMs and phospholipid molecules, enhancing our understanding of the driving forces behind the interactions of SARMs with lipid membranes. Overall, this investigation provides relevant knowledge related to the biophysical-chemical effects that SARMs produce in biomembrane models and could be of practical reference for promising applications of SARMs in medicine and sport.