Food/health questions are tricky, and often come down to "compared to what?"
Some oils are "healthier" than others. Oils higher in polyunsaturates, lower in oxidants, and lower in trans-fats, are generally considered more healthful. However none of that is as important as whether the oil is heated to an appropriate temperature, has a high enough "smoke point," and is clean and (relatively) fresh.
A lightly steamed vegetable is going to be lower in calories and fats than its fried equivalent, but won't taste as good. If you want to eat nothing but steamed food for the rest of your life, your business.