First things first. You have to have a Xbox One Controller.

Looks like Ubisoft messed up the controller support on their official configuration, thinking all key bindings will match with Steam Controller. Somehow, during the game, the buttons and their respective commands go completely messed up. Once you detect you have this problem, there's a reliable fix for the mess that Steep does with a Xbox One Controller.
This seems to be the most reliable option so far. I came across several workarounds and this was the only one that I can consider reliable enough to recommend here.

1. Go to Steam Big Picture Mode.
   
2. Go to Settings.
   
3. Go to Controller Settings.
   
4. Make sure that Xbox Configuration Support is deactivated.
   
5. Go to your Library.
   
6. Find Steep.
   
7. Go to Manage Game.
   
8. Go to Controller Configurations.
   
9. Go to Browse Configurations.
   
10. Go to Community.
    
11. Find one configuration that works for you.
    
12. Play Steep.

Keep in mind that you'll have to launch Steep in Big Picture Mode to make this work.
Also, if you feel like your controller configuration still gets completely messed up during the game, you can try LT+RT to make them come back to normal. It works sometimes if you don't wanna do any changes or restart the game imediatelly.

Credits to TheSneezingMonkey
https://youtu.be/1tBB2TrxQH4