Most manufacturers make stoves from steel which varies in thickness and sometimes you will find the stove body made from steel with a cast iron door. Older stoves are usually fully made from cast iron and then bolted together with rope gasket in between the joints.
Steel stoves heat up faster and start heating the room faster, but do not retain heat as well when the fire goes out. Cast iron on the other hand takes longer to heat up and kick heat out but retains heat longer after the fire has gone out. Cast iron can crack which can render the stove a write off whereas it is exceptionally rare for a steel stove to do this. Steel stoves are welded too which makes them airtight and are a lot more controllable as there are no joints in the stove body which will leak air unlike cast iron made stoves.