There are many "steam" locomotives around in China and India, but you just don't see them.

Coal is burned and converted to electricity in coal power plants and the electricity is used to move the electric locomotives around.

Even with distribution losses, the thermal efficiency of coal power plant -> electric network -> electric train is much higher then the old steam locomotives (Only about 5% of the potential energy produced by a steam locomotive’s boiler is translated to the wheels in the form of actual driving power.)