Stochastic Gradient Descent (SGD) with adaptive steps is widely used to train deep neural networks and generative models. Most theoretical results assume that it is possible to obtain unbiased gradient estimators, which is not the case in several recent deep learning and reinforcement learning applications that use Monte Carlo methods. This paper provides a comprehensive non-asymptotic analysis of SGD with biased gradients and adaptive steps for non-convex smooth functions. Our study incorporates time-dependent bias and emphasizes the importance of controlling the bias of the gradient estimator. In particular, we establish that Adagrad, RMSProp, and Adam with biased gradients converge to critical points for smooth non-convex functions at a rate similar to existing results in the literature for the unbiased case. Finally, we provide experimental results using Variational Autoenconders (VAE) and applications to several learning frameworks that illustrate our convergence results and show how the effect of bias can be reduced by appropriate hyperparameter tuning.