Steam has to be made. When talking about fuels or propulsion, we use words like efficiency. This basically means: how much energy (for example heat or moving distance) can I get out of a fixed amount of a certain power source.

And steam is very inefficient. It takes a lot of energy (coal fire for example) to get the water boiling. For the same amount of money you pay for the coal, you could buy 4 times the amount of diesel fuel for a train (random numbers for clarification).

Edit: in modern days, steam engines kind of still exist. Nuclear and coal power plants are just another way of producing steam to turn generators to produce electricity. But making the steam requires a lot of non green fuel. And it's only capable of being used in huge power plants. Powering a car with steam would be a financial doomsday