They are synonymous, however steam is typically specifically water, while vapor is any liquid suspended in the air. Regarding water, you can say steam or water vapor. Just note that with vapor you should specify what the vapor consists of- like with water vapor.

vapour is water that is in a gaseous state, but steam is only water that is heated beyond boiling point, water has to boil for some time to become technically and scientifically vapour. But people usually regard them as the same and synonyms because human eyes cannot visibly see the difference regarding water. For other liquids it would be like when a liquid comes out of an aerosol can, it is vaporised into the atmosphere.