After researching a bit we found some differences between a Sauna and a steam room are as follows:
Source of heat - In Sauna, Charcoal and other similar products are used as a fuel to generate heat making the areas dry whereas in a Steam room, steam generators are used to produce steam which makes the area warmer. In contrast to area inside Sauna which seems to be drier, area inside a Steam room seems to more soggy and humid.
Build up material - The air inside a steam room is extremely damp that it condenses on the walls of room hence they are constructed using tiles or some non-porous material like glass. On the other hand, the sauna rooms are built of wood as it is insulated and absorbs the heat.
Mainly use of steam room is for detoxification whereas use of Sauna is to improve the cardiovascular well-being and for reducing stress hormones.
As for health benefits, heat bathing in general causes promotes blood flow to your skin, purges built-up metabolism products from your skin, acts as a form of cardiovascular exercise, reducing stress hormones and blood pressure which in turn improves the cardiovascular well-being, relaxes muscles, good for skin healing and creates novel changes in the brain. All of these combined create feelings of relaxation and well-being in heat bathers, plus deep-cleaned, radiant skin.