The biggest difference between steel and lead is simply in weight. Lead is heavier and hits harder. You are also going to get greater distance. That weight also gives lead better ballistics. You will always get more FPS of muzzle velocity out of lead than steel, which is comparatively low density, usually leading to a more open shot pattern.

Lead ammo is relatively dense compared to steel ammo, so lead bullets generate more energy, traverse a more extensive distance and create a more significant impact when compared to steel ammunition. In contrast, steel ammo is lighter than lead bullets, translating into less momentum and energy as it travels to the target.

Steel is less dense than lead. The pellets weigh one-third less than lead pellets of the same size. Steel retains less energy and may not kill birds cleanly at the same ranges. Steel with the same weight and shot size contains more pellets than lead, making loads that contain more shot than necessary.