Does steel occur naturally in nature?

Steel does not occur naturally. Steel is an alloy of Iron and Carbon and other elements. Iron when smelted actually contains too much carbon and other impuities to be steel. Iron with over 2.1% is called cast iron which while strong is brittle, it can be cast into shape but not beaten or formed into shape and does not have the flexibility of steel.

The simplest, and earliest way of making steel was to heat iron until it was soft then beating it to drive out impurities, oxygen, and carbon, then reheating it in the presence of carbon, originally charcoal nowadays coke, a product of coal, then beating it again until the proper amount of carbon remains. The process is repeated several times. An advancement was the crucible method where iron and carbon were repeatedly and slowly melted , cooled, and remelted in a container. Modern methods use precisely measured amounts of iron, carbon, and other elements in various types of furnaces.

It is conceivable that a small amount of natural steel could occur if conditions were perfect, pure iron melted by tectonic forces, a volcano say, in the presence of the proper amounts of carbon and other elements, in the absence of oxygen. If it happens at all natural steel would be very rare.