While very similar, and often used interchangeably, there is a technical difference between the two.

"In each step" implies that something is done or happens as part of the process. "At each step" is for something done additionally to the process.

Assembling the furniture consists of seven steps. In each step a new piece is added to the assembly.

Creating a report takes three steps. At each step the author is required to check with a reviewer that it has been done correctly.