Gamers Nexus did a very in depth review of the Steam Machine [1], which includes a comparison to a build yourself similar machine.

The result is that for about 70 dollars less you can put together a somewhat more powerful PC than the Steam Machine, but not for that form factor, it would still be bigger.

IMO, the Steam Machine is not a bad purchase if you are in the market for that type of product.

[1] https://m.youtube.com/watch?v=66QzlDewigE