The history of cars goes way back before Benz's motorwagen, despite what the marketing folks at Mercedes-Benz want you to believe. One of my favorite periods in automobile development was in the early 1800s, when steam technology was just starting to mature, and rail locomotives and road-going steam vehicles were first being experimented with. Like any good period of exploration, there were lots of bonkers ideas.
Well, bonkers to our modern, jaded eyes. Back then, there were no right ways to do anything, and just about any idea was worth trying out if you had the considerable skill and ability to actually build one of these insane, hot, spitting wheeled iron monsters. David Gordon was one of these people.
Gordon was a very well-respected engineer, but he had one strange fixation: he didn't seem to really trust friction. Specifically, the friction of wheels against a road surface, the fundamental interaction that lets us drive at all. Gordon, like a number of others around his time, was designing self-propelled locomotives for regular road use— essentially, what we'd call a car today, even if it was mechanically very different. Gordon didn't trust that wheels could propel a steam wagon up a hill (or in other situations) without losing too much power due to wheelspin and general lack of grip, so he emulated a mode of transportation he knew damn well got the job done: horses.
in 1824, Gordon designed (and patented) a three-wheeled, six-legged steam carriage. The legs (called, confusingly, propellers) were made from iron tubes filled with wood to "to combine lightness with strength" which sort of makes him sort of a spiritual great-grandfather to Lotus' Colin Chapman. The six legs were grouped into two groups of three on each side, each leg capped with a small circular-section foot, shod with a peculiar arrangement of whalebone and iron. Really, here's what a relatively contemporary book said:
To the lower ends of these propelling rods were attached the feet, of the form of segments of circles, and made on their under side like a short and very stiff brush of whale-bone, supported by intermixed iron teeth. These feet pressed against the ground in regular succession, by a kind of rolling, circular motion, without digging it up.
This likely deafening hexaped's legs were actuated by parallel wooden blocks sliding in iron grooves, in alternating strokes, driven by the two steam engines mounted at the front of the vehicle. In addition to steering with the single front wheel and tiller, the legs could be employed to steer the beast in a tank-like method, as well as lifted if you wanted to slow down or coast downhill:
If the carriage was proceeding upon a level, the lifting of the propellers was equivalent to the subtraction of the power, and soon brought it to a stoppage; and in making turns in a road, the guide had only to lift the propellers on one side of the carriage, and allow the others to operate alone, until the curve was traversed.
Gordon actually built a full-size prototype of the galloping carriage, which some old engravings seem to name the "Comet" (I think Stampede would have been a much cooler and accurate name). It seems the thing worked, but, not really shockingly, he found the legs to be heavy, inconvenient, and slow. He still felt they'd be necessary to allow a wheeled steam vehicle to drive up a grade, and he wasn't alone in that— many scientific journals of the era agreed, and even provided the math to back up this fact that, math or no, we know isn't really so true. Still, math!
Gordon's ideas were later used by another early steam car pioneer, Goldsworthy Gurney, who exchanged use of the traction leg system for use of one of his smaller, tubular boilers. Gurney tried using the legs as auxiliary propulsion when wheels were slipping or in mud and snow (that part may be interesting to revisit with modern technology— Big Dog legs on your G-Wagen?) but generally Gurney found the legs more trouble than they were worth.
Besides, Gurney found that his carriages maintained traction up very steep inclines just fine, and most of the wheelspin issues were closer to what we'd call burnouts than actual slippage. The issue was the sudden impact of the direct-coupled piston rods to the wheels on early high-pressure steam engines. Once Gurney started building vehicles with gradually throttleable power, the issue largely went away. Except, I suppose, when gentlemen wished to impress the ladies as they were exiting the carriage-park of a local Regent of Dairy establishment, where suddenly opening the throttle and letting those iron-shod wheels spin and throw a shower of sparks before you peel out onto the cobblestone really got the whalebone snapping in those corsets.
So, to answer the question that's on the tip of everyone's brain, yes, there sort of were steam-based proto AT-ATs in the early 1800s. Adjust your time-travel fantasies accordingly.