Steg's father, Mordechai, who had gone by the name of Martin to avoid identification as a Jew, was interned at the Beaune-la-Rolande internment camp. He was then subsequently deported to Auschwitz as part of Convoy No. 5 on 28 June 1942. Martin survived deportation and later returned to Paris. Adolphe, a student at the Lycée Voltaire, bore a yellow badge as required for Jews living in German-occupied territory. However, his teacher, Mr. Binon, had his class read "De la tolérance" by Montesquieu. He escaped the Vel' d'Hiv Roundup on 16 July 1942 with false papers, and, thanks to a smuggler, was able to cross the demarcation line into the Zone libre. He was saved by and his brother , who housed Jewish people fleeing from the Nazis in Cazaubon. He was then sent to Sarlat to continue his education, where he joined the 3rd Battalion of Armagnac of the French Forces of the Interior.