The 48-year-old entered his plea Thursday in Los Angeles County Superior Court and remains in jail on $500,000 bail. He is scheduled to return to court July 11.
Dykstra was charged with 25 counts and faces up to 12 years in prison if convicted.
Prosecutors say Dykstra, his accountant and a friend leased three high-end cars from a Southern California dealership this year by providing phony information and claiming credit through a phony business.
Officers who arrested Dykstra at his Los Angeles home in April say they found cocaine, Ecstasy and synthetic human growth hormone.
On Monday, Dykstra pleaded not guilty to bankruptcy fraud in federal court.