Steps are portions or level of the City Raid. With each step, the required resources to complete the step increases.
When a city finishes a step in the City Raid, they ensure a reward for that step as well as move to the next step. A ! will pop up when a step is complete above the City Raid icon.
You may view the rewards from the Rewards tab in the City Raid interface.
There are 25 Steps to each raid. Cities may continue to Raid past this for additional Fame.