After Thor's character grown from Thor 1, Ragnarok, and Infinity War, this is a tough one.
Remember the last scene in Thor: The Dark World? He was willing to give up Mjolnir and his throne because he'd rather be a good man, than a great king, and doesn't have the heart for absolute rule.
Hemsworth acting in the last two movies especially shows a lot of growth. He isn't as "pure" as Silver Age Thor (Vengeance was one of his driving motivators) but as we saw by his speech to Etri, he is driven by hope ultimately.
I'm curious to see them interact side-by-side in Avengers 4. They both had the best entrances in IW, and you really understood why they (And Stark) are the trinity of Marvel's Avengers.
And after the last three movies, Thor's no less of a tragic character than Steve. That scene with Rocket imo was some of the best acting in the movie.
I think the best way to describe is that whoever you think is more heroic depends on a slight change of ideals. Thor is after-all from a warrior race but Steve was raised in a humble home.