It depends on what you call anodizing. I tend to refer to anodizing as "controlled corrosion", so in that sense, steel can be anodized (we refer to it as rust) and so can stainless. However, as admin eludes to, steel in the aluminum anodizing bath is big a no-no if it has current flowing through it.
I'm sure there is process that can oxide stainless and a process for rusting iron, but neither are very common.
Process control doesn't give you good quality, it gives you consistent quality.
Good quality comes from consistently doing the right things