A Redditor has successfully connected a very powerful eGPU to the Steam Machine. Large_Customer_3840 briefly explains how they managed to add a potent AMD Radeon RX 9070 XT to Valve’s compact modern gaming desktop by fitting an M.2 to OCuLink adapter in the machine. That was cable-connected to an Aoostar EG01, which hosted the hulking triple-fan desktop graphics card. However, there remained some wrangling to do due to Steam Machine hardware limitations.
Added an egpu to my valve steam machine.from r/steammachine