I have listened to him a few times about various things. I couldn't remember what exactly he had said, but I recall he has mentioned more than once about being Catholic, and being an altar boy. I did a quick search and found he has done an interview in 2017 on a website most people would have heard of by its main man with last initial V. Posted below solely as a courtesy.
Steve Bannon Talks About Catholic Upbringing (churchmilitant.com)He seems fiery about various things, and if memory serves, he was trying to get some sort of retreat-type-centre (I think) going in Italy, or was it an old monastery or convent? I honestly cannot remember at the moment.
He has mentioned Archbishop Vigano, and Trump numerous times, so I am pretty sure he is a fan of both, or at least more supportive of them than not.
I actually think he misses the old ways/traditions by how he talks. I have no idea if he still goes to Mass or not, and don't know much anything else about him.