Steam is made by boiling water. There are many ways to boil water. Steam trains were usually fuelled by coal, just like a coal-fired power station.

I think you need to know how a power station works first, and that's by a magnet spinning whilst surrounded by a copper coil. So what we really want is to spin the magnet. This is often done by steam. You can boil water with gas, coal, nuclear or geothermal (which is actually "clean"). Other options include using water to spin the magnet in hydroelectric plants.

So, sure, steam itself is clean. The process of making steam isn't always so.