The concept of steam power had been around long before the nineteenth century. Hero of Alexandria made a simple steam powered device known as an aeolipile in the first century AD. The problem was, however, that it appears as they didn’t really do anything with the technology that actually stuck, forcing us to rediscover Steam power during the industrial revolution.
For more information on Hero, here’s a documentary on him that discusses many of his inventions:
Putting aside the thoughts of what Steampunk might look like if the age of steam started nearly two thousand years before it actually did, you can enjoy a bit of history by building a simple steam turbine similar to the one Hero created following this easy Instructable.
If you’d prefer to buy a fancy smancy one (and you call yourself a Steampunk! Tisk tisk…) you can buy one here.