Hi, I have the same problem than you had but I’m not sure how you fixed it. Following the official doc this is what I did so far:
Change the steam version in the Steamworks.build.cs to v139 (currently the last one).
Add the folder “C:\Program Files (x86)\Epic Games\4.14\Engine\Source\ThirdParty\Steamworks\Steamv139” and place the downloaded sdk inside.
Create the folder “C:\Program Files (x86)\Epic Games\4.14\Engine\Binaries\ThirdParty\Steamworks\Steamv139” and create the folders “Win64” and “Win32” inside.
Place into “Win32/Win64” the files “steam_api.dll/steam_api64.dll”, “steam_client.dll/steam_client/64.dll”, “tier0_s.dll/tier0_s64.dll”, “vstdlib_s.dll/vstdlib_s64.dll”. The “steam_api.dll/steam_api64.dll” I copied were the ones that are somewhere inside “C:\Program Files (x86)\Steam”.
Doing this I had the same error as you, so I decided to remove the “steam_api.dll/steam_api64.dll” and use the ones that are within “C:\Program Files (x86)\Epic Games\4.14\Engine\Binaries\ThirdParty\Steamworks\Steamv132” instead but I got the same error again. What am I doing wrong?
Thanks in advance.
Don’t change the name of the folder “Steamv132” and codes in c++, since the folder name may be used in other cpps and you remain them as “Steamv132” or “v132”, while your folder name is actually “Steamv139”.