The Baldwin Locomotive Works, located in the Philadelphia area, was the largest manufacturer of steam locomotives. It went out of business in 1972, after having produced 70,000 locomotives.

Another large manufacturer was the Lima Locomotive Works in Lima, Ohio - in the western part of Ohio.

The other major American locomotive manufacturer was the American Locomotive Company (ALCo), located in Schenectady, New York.

Here's a page that gives more information on U.S. locomotive manufacturers:

http://www.steamlocomotive.com/builders/

It was my understanding from the California State Railroad Museum that the Southern Pacific Sacramento Locomotive Shops had manufactured a good number of locomotives, but I couldn't find any specific information about that online. On the Donner Pass Route that goes past my home, the SP used Cab Forward locomotives that were built by Baldwin. The Cab forward design got train crews through tunnels and snow sheds before they were asphyxiated by exhaust from the smokestacks located at the rear of the locomotives.

Here's a very comprehensive list of locomotive builders worldwide:

https://en.wikipedia.org/wiki/List_of_locomotive_builders