The initial stages oxidation of the P92 ferritic/martensitic steel with and without Al-Mn coating at 650 °C in Ar+40%H2O for 240 h were investigated by mass spectrometry (MS) and thermogravimetric analysis (TGA). TGA-MS measurements were conducted in a closed steam loop. An Al-Mn coating was deposited on P92 steel at 580 °C for 2 h by chemical vapour deposition in a fluidized bed reactor (CVD-FBR). The coating as-deposited was treated in the same reactor at 700 °C in Ar for 2h, in order to produce aluminide phases that form the protective alumina layer (Al2O3) during oxidation. MS measurements at 650 °C of the Al-Mn/P92 sample for 200 h indicated the presence of (Al-Mn-Cr-Fe-O) volatile species of small intensity. Uncoated P92 steel oxidized under the same steam oxidation conditions emitted greater intensities of volatile species of Cr, Fe and Mo in comparison with intensities from coated steel. TGA measurements verified that the mass gained by the coated sample was up to 300 times lower than for uncoated P92 steel. The morphology, composition and structure of samples by Scanning Electron Microscopy SEM, Backscattered Electron (BSE) detection, X-ray Energy Dispersive Spectrometry (EDAX) and X-ray Diffraction (XRD) are described.