Oxygen is an element, steam is a mixture and air is a compound.
Oxygen is an element because it is made up of one type of particle which cannot be broken down into simpler substances.
Steam is a compound because it is a gaseous form of Water and water is a compound. In water, hydrogen and oxygen are chemically combined in a fixed ratio by mass and their properties are different than the elements i.e.; oxygen and hydrogen.
Air is a mixture of various gases namely Oxygen , Nitrogen , Argon , etc. The components of air can be separated into its components using a method of separation called fractional distillation.
Therefore, the given statement is false.