Troubleshooting-Gaggia-Semi-Steam-Cold

First make sure that there isn't any sort of flow issue by looking at the section of this article that discusses steam wand blockages.
Make sure the machine is set to steam mode, and that the indicator light has come on to indicate that the machine is heated for steam.
It is normal to have water come through the steam function for the first 5-10 seconds of steaming. This happens because the hot steam condenses back into water after it leave the boiler and come into contact with the room temperature steam valve and wand assemblies. For this reason you should do a process called purging.
1. To purge the steam wand place an empty cup under the steam wand and turn the steam knob to the open position.
2. Let the steam come through for 5-10 seconds, until there is significantly less water and a strong jet of steam.
3. Close the knob, and begin your normal frothing process.
If the steam ready light comes on immediately when selected and the machine does not heat up to steam temperature, the steam thermostat will need to be replaced. Thermostat replacement instructions can be found below and replacement steam thermostats can be purchased here.

How to Replace the Thermostats