No problem at all with steel axleboxes with either gunmetal or cast iron horns, but they need to have a proper bearing for the axles. This could be with needle roller bearings or pressed-in bronze bushes.
You could even use steel horns with steel axleboxes, as the movement is slight, but you need to pay more attention to the lubrication.
Steel-on-steel does not work well as a rotating bearing as it's prone to "pick up" and seize.