The normal anodizing process of aluminum use sulfuric acid as the liquid media to open the pore of aluminum. But for other kind of steel this process may can’t work. Sulfuric acid is not suitable for steel anodizing, yes of course because steel have different properties not like aluminum.
Anodizing forms an oxide protective barrier on aluminum but if you form iron oxide over steel it will not protect it adequately, for that reason a different compound has to be developed. You may want to explore blackening, galvanizing or phosphate coating of steel.
Some companies claim that they know an Electrochemical Process for stainless steel wherein Chrome Oxide can be produced/enhanced and by varying the thickness it attains different color. But anodizing process just apply to aluminum steel and aluminum alloy if possible. Other steel can be process by aluminum process if that steel is coated first by aluminum steel.