Steen was born in Oslo but lived in Italy from 1973 until his death in September 2011. Steen is perhaps best known for his work on the Norwegian National Academy of Fine Arts in conjunction with the Danish sculptor Per Palle Storm. In 2000, he was commissioned to create a statue of King Olav V of Norway, which became the subject of great controversy. At a cost of NOK 2 million (US$317,000), Steen based his statue on a photo of the king in military garb and depicted him in a serious pose with his right arm raised. This drew the ire of critics, who compared it with similar statues of dictators. Eventually, the Oslo City Council rejected the work, and the statue was later installed in Gulen.
A museum dedicated to his work opened in Sandefjord in 2009. Steen's manager and daughter, Hege Steen, said "We are glad that it has been possible to bring several of Knut’s works together at one place in his native country".