Steganography is the art of secret communication. Its purpose is to hide the presence of information, using, for example, images as covers. We experimentally investigate if stego-images, bearing a secret message, are statistically "natural." For this purpose, we use recent results on the statistics of natural images and investigate the effect of some popular steganography techniques. We found that these fundamental statistics of natural images are, in fact, generally altered by the hidden "nonnatural" information. Frequently, the change is consistently biased in a given direction. However, for the class of natural images considered, the change generally falls within the intrinsic variability of the statistics, and, thus, does not allow for reliable detection, unless knowledge of the data hiding process is taken into account. In the latter case, significant levels of detection are demonstrated.