By default, the step headers will use the create and done icons from the Material design icon set via elements. If you want to provide a different set of icons, you can do so by placing a matStepperIcon for each of the icons that you want to override. The index, active, and optional values of the individual steps are available through template variables:
<mat-vertical-stepper>
<ng-template matStepperIcon="edit">
<mat-icon>insert_drive_file</mat-icon>
</ng-template>
<ng-template matStepperIcon="done">
<mat-icon>done_all</mat-icon>
</ng-template>
<!-- Custom icon with a context variable. -->
<ng-template matStepperIcon="number" let-index="index">
{{index + 10}}
</ng-template>
<!-- Stepper steps go here -->
</mat-vertical-stepper>
Note that you aren't limited to using the mat-icon component when providing custom icons.
https://material.angular.io/components/stepper/overview#overriding-icons