Older locomotives used steam for power and were called steam locomotives. Steam makes the steam locomotive move. Steam comes from water. It looks like smoke but it is not. It is steam.
Smoke comes from a fire.
Inside the steam locomotive there is water and a fire to heat the water to make the steam. Steam under pressure provides the power to make the wheels go round. It is like the air in a balloon. Air in a balloon can move something. Valves admit steam alternately to each end of the cylinders.