^^ depends what kind of old XP machine we're talking about. The Steam client needs SSE2 AFAIK, so assuming a P4 or Athlon 64, probably 99% of mainstream distros (Ubuntu, Mint, Debian, Fedora - 32-bit needed for the P4 obviously) will run without trouble & support virtually all the hardware out of the box. You might not be able to use the old closed-source proprietary video drivers for a 2006 ATI or Nvidia card on the latest kernel, but you can either regress a few versions or just use the built-in open source drivers which are generally "good enough", especially for Radeon cards.
I've run the very recent Mint 18.3 on my Via KT266/Athlon XP-based Shuttle XPC, which is already a couple generations older than what we're talking about. Some distros get picky about PAE, but that shouldn't be a problem for any hardware you'd want Steam on.
THAT SAID... if you're trying to play your XP-era games on XP because they run better or support more features on that OS, using Linux won't help you out, unless there's a feature-equal native version available (which is a lot more common now than it was in the XP era.) The new Proton compatibility layer is good, but it mainly targets modern stuff.
EAX should work on Linux & the built-in drivers for Audigy / EMU10k cards are actually pretty good, but I don't know how many ported games bothered to implement it. The audio subsystem on most Linux distros was a mess until quite recently. (Actually it's still the same mess, they just managed to make it work better.) I don't know about A3D but the Aureal cards are decently supported.
Edit: just checked the system requirements, the Steam client requires Ubuntu 12.04 at a minimum. This was an extremely popular and long-lived version that a lot of other distros were based on (e.g. Mint 13, which I used on one machine until last year or so.) Actual game backwards compatibility on Linux is gonna be a mixed bag regardless of whether the Steam client itself runs.
You could also just install and run SteamOS. That still exists. 😜
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