What are space rockets made of?

Launch vehicles are mostly aluminum. It's light, strong, and inexpensive, and you need a lot of it to hold all the propellant. The old Atlas was made of very thin stainless steel, too thin to stand on its own, so it always had to be pressurized. The casing on the Space Shuttle solid rocket boosters is steel. Some solid motors use composite casings.

The engines contain a lot of high temperature steel alloys to handle the stress and temperature.

Some are made of lithium also because its' light and strong like aluminum.