I tried it yesterday, and while pairing the Steam controller to a PC or a phone works perfectly, the Oculus Go App doesn't detect it at all.
Seems that the Steam controller announces itself as a mouse, or as a composite HID device, but not as a game controller.
This should be easily fixable, but, you know, closed source and such.
I agree, that this would be great, and a killer feature for the Oculus Go.
Even better, if Steam would support VR games.
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