Disclosed is a step assembly with fall arrest capability for use in climbing a utility structure, including a removable step unit. The step assembly comprises the step unit including two leg members, a leg holder including two cylinders, and an expansion anchor including multiple fins. The combination of the leg holder and the expansion anchor is configured to be secured with the utility structure based on bending the fins at the shoulder sections to have the fins opened inside the utility structure while the leg holder is in contact with and outside the utility structure. The step unit can be detachably attached to the secured combination by inserting the two leg members through the two cylinders of the leg holder, respectively.