The Steel Mill is a factory that was tied to Arkham City by Hugo Strange, and was a part of the Industrial District. During Batman: Arkham City, Joker used the Steel Mill as his main base of operations.
Before Arkham Origins Incident
Before the Incident on Christmas Eve, Black Mask used the Steel Mill as a front for his drug lab that was hidden in the basement. Eventually, the Joker arrived, took Roman's alter ego, took over the operation, and prepared his plans against the Dark Knight while he locked Sionis in his own office in the Drug Lab and extracted information from him through torture to learn more about his mannerisms and actions to perfect his disguise.
Arkham Origins Incident
The Steel Mill was Black Mask's base of operations for his crime syndicate. When the Joker kidnapped Black Mask, he took over his organization by impersonating him and hired eight assassins for a $50,000,000 bounty on Batman's head. When Batman discovered the truth at the Gotham Merchant's Bank, Joker imprisoned Black Mask at the Steel Mill. After he broke into the Steel Mill, Batman rescued Black Mask and beat him for information concerning the Joker. Sionis refused to divulge any information, because he had plans to kill the Joker.
Afterwards, Copperhead attacked Batman in Black Mask's Office which resulted in her poisoning him with her venom. During that, Black Mask escaped into the night. That was eight years before the events of Arkham Asylum, so there were no Joker decorations as seen in Arkham City. If one were to explore the Steel Mill after beating the game's main storyline, they would find Joker's Henchmen all over the place. However, if one were to do this during the main storyline, they would find members of Black Mask's Gang.
Arkham City Incident
As aforementioned, the Steel Mill was Joker's base of operations during the Arkham Gang War. While many of his henchmen guarded the entrances and exits, Joker was set up in the high up office, sick. He also decorated the Steel Mill with Joker Balloons and other gag equipment, with even a seemingly dysfunctional Ferris Wheel and a collection of docks nearby.
Harley Quinn's Revenge Incident
Harley Quinn used the Steel Mill as a hideout two weeks after Arkham City shutdown. The GCPD sent Batman in to smoke her out, but he disappeared for two days. Robin later went to find out what happened to the Dark Knight. It turned out that he was trapped in a small bubble with no air in it inside of a giant Joker robot.
Arkham Knight Incident
The building could be seen in the unaccessible Arkham City when it was seen from high ground. In addition, a drawn version appeared in the Wonderland side mission, with the second fight of the final segment taking place on its front entrance.