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Fiber Bragg grating (FBG) sensors have been applied to assess strains, stresses, loads, corrosion, and temperature for structural health monitoring (SHM) of steel infrastructure, such as buildings, bridges, and pipelines. Since a single FBG sensor measures a particular parameter at a local spot, it is challenging to detect different types of anomalies and interactions of anomalies. This paper presents an approach to assess interactive anomalies caused by mechanical loading and corrosion on epoxy coated steel substrates using FBG sensors in real time. Experiments were performed by comparing the monitored center wavelength changes in the conditions with loading only, corrosion only, and simultaneous loading and corrosion. The theoretical and experimental results indicated that there were significant interactive influences between loading and corrosion for steel substrates. Loading accelerated the progress of corrosion for the epoxy coated steel substrate, especially when delamination in the epoxy coating was noticed. Through the real-time monitoring from the FBG sensors, the interactions between the anomalies induced by the loading and corrosion can be quantitatively evaluated through the corrosion depth and the loading contact length. These fundamental understandings of the interactions of different anomalies on steel structures can provide valuable information to engineers for better management of steel structures.