Thermogravimetric analysis (TGA) and mass spectrometry (MS) of initial steam oxidation at 650 °C in Ar + 40% H2O for 150 h of the P92 steel with and without aluminum-silicon-CVD coating were investigated. We deposited Al-Si coating on ferritic/martensitic (F/M) P92 steel using the chemical vapor deposition in a fluidized bed reactor (CVD-FBR) at 580 °C for 2 h and subsequently heat-treated in Ar at 700 °C for 2 h. The thermodynamic software Thermo-Calc was used for theoretical simulations in equilibrium under similar experimental oxidation conditions from 500 to 900 °C. TGA verified that the P92 steel coated with Al-Si had not gained weight compared to the uncoated oxidized P92 steel that gained 5.25 mg/cm2. The coated sample, with protective oxide layers, i.e., silica (SiO2) and alumina (Al2O3) on the diffusion zone, was better protected during steam oxidation. Al-Si-CVD-FBR coating helped to delay catastrophic oxidation and avoid loss of chromium from steel through volatilization. SEM: EBSD/EDAX and XRD were used to study morphology/composition and structure of the samples.