4-Androstene-3,17-dione (4-AD), 1,4-androstadiene-3,17-dione (ADD) and 9α-hydroxyl-4-androstene-3,17-dione (9OH-AD), which are important starting compounds for the synthesis of steroidal medicines, can be biosynthetically transformed from phytosterols by Mycobacterium strains. Genomic and metabolic analyses have revealed that currently available 4-AD-producing strains maintain the ability to convert 4-AD to ADD and 9OH-AD via 3-ketosteroid-1,2-dehydrogenase (KstD) and 3-ketosteroid-9α-hydroxylase (Ksh), not only lowering the production yield of 4-AD but also hampering its purification refinement. Additionally, these 4-AD industrial strains are excellent model strains to construct ADD- and 9OH-AD-producing strains. We recently found that Mycobacterium neoaurum HGMS2, a 4-AD-producing strain, harbored fewer kstd and ksh genes through whole-genomic and enzymatic analyses, compared with other strains (Wang et al. in Microbial Cell Fact 19:187, 2020). In this study, we attempted to construct an efficient 4-AD-producing strain by knocking out the kstd and ksh genes from the M. neoaurum HGMS2 strain. Next, we used kstd- and ksh-default HGMS2 mutants as templates to construct ADD- and 9OH-AD-producing strains by knocking in active kstd and ksh genes, respectively. We found that after knocking out its endogenous kstd and ksh genes, one of these knockout mutants, HGMS2Δkstd211 + ΔkshB122, showed a 20% increase in the rate of phytosterol to 4-AD conversion, compared relative to the wild-type strain and an increase in 4-AD yield to 38.3 g/L in pilot-scale fermentation. Furthermore, we obtained the ADD- and 9OH-AD-producing strains, HGMS2kstd2 + Δkstd211+ΔkshB122 and HGMS2kshA51 + Δkstd211+ΔkshA226, by knocking in heterogenous active kstd and ksh genes to selected HGMS2 mutants, respectively. During pilot-scale fermentation, the conversion rates of the ADD- and 9OH-AD-producing mutants transforming phytosterol were 42.5 and 40.3%, respectively, and their yields reached 34.2 and 37.3 g/L, respectively. Overall, our study provides efficient strains for the production of 4-AD, ADD and 9OH-AD for the pharmaceutical industry and provides insights into the metabolic engineering of the HGMS2 strain to produce other important steroidal compounds.