Not only was he in the army, he was in the army with Nick Fury. Steve has probably seen porn that would make half the population spontaneously go blind.

Fury: *waves handful of photos about proudly, smirking*
Steve: Oh my God. Tell me those people aren't doing what I think they're doing with a lit cigar and a goat.
Bucky: What are they doing? Can I see?
Steve: No. I wish I hadn't.

Dugan: *aside to Fury* When do you think he'll figure out you're going out and finding that stuff just to shock him?
Fury: About the time Hitler surrenders.