Steam power has a very limited application in military vehicles. Countless issues include weight, cooling problems, overly large fuel reservoirs, boiler explosions, and slow startup times.
There are a couple of examples though, and what they lack in utility, they make up for in point-blank awesomeness. Although there were some steam traction engines used in the Boer War (1899-1902), there were a couple of beauties designed for WWI, although I don't believe they ever saw combat.
Behold the Steam Wheel Tank:
The steam wheel tank was designed in the US in 1916 by the Holt Manufacturing Company (the predecessor to Caterpillar). Like all successful vehicles, it had three wheels: an 8x3 pressed steel sheet wheel on each side, plus a roller type wheel in back for steering. It was powered by two Doble 2-cylinder 75 HP steam engines that ran on kerosene. Armament was a 75mm Howitzer in front, and two .30 caliber Browning machine guns on the sides. It weighed in at 17 tons.
Then we have the Tracked Steam Tank:
This one was designed in 1918 by a US Army Corps of Engineers officer. The Tracked Steam Tank was actually built around a specialized steam-powered flamethrower for attacking pillboxes. In addition to the flame thrower, it had two .30 caliber machine guns per side. It also ran on kerosene, and weighed in at fifty tons.
More:
Landships II
Steam Powered Tanks - Armored Vehicle Lore - World of Tanks official forum
Previous Tool Talk steam posts: Steam locomotive drag racing, Steam-powered machine shop, 1897 steam-powered planing mill, Steam-powered model sawmills, Uniflow steam engine
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