Pipeline design pattern implementation

I would focus on

If I happen to wire the steps in the pipeline incorrectly, the app will fail.

Yes, this is a problem. StepThree is the stranger here. I do not think one simple pattern might help, I do think it must be a combination of strategy and builder pattern. For example:

Pipeline<Integer,Integer> intPipe = new Pipeline<>();
intPipe = intPipe.add(new StepOne()); // increment 100
intPipe = intPipe.add(new StepTwo()); // increment 500
Pipeline<String, Integer> strPipe = intPipe.add(new StepThree()); // convert

Whereat Pipeline is like this:

public static class Pipeline<IN, OUT> {
   //...
   public<A> Pipeline<OUT,A> add(Step<IN,A> step) {
     pipelineSteps.add(step);
     return (Pipeline<OUT,A>)this;
   }
}

Using the fast-builder-syntax this might work:

Pipeline<String, Integer> pipe = new Pipeline<Integer, Integer>()
    .add(new StepOne()).add(new StepTwo()).add(new StepThree());

This should work since generics are not part of the bytecode.

You don't need to create a new Interface for this.

Java 8 already has a Functional Interface called Function and it allows you to create a Chaining of Functions (in other words, your Pipeline).

Function<Integer, Integer> addOne = it -> {
            System.out.println(it + 1);
            return it + 1;
        };

Function<Integer, Integer> addTwo = it -> {
            System.out.println(it + 2);
            return it + 2;
        };

Function<Integer, Integer> timesTwo = input -> {
            System.out.println(input * 2);
            return input * 2;
        };

final Function<Integer, Integer> pipe = addOne
        .andThen(timesTwo)
        .andThen(addTwo);

pipe.apply(10);

If you want to read more about Functional Interfaces: https://medium.com/@julio.falbo/java-recent-history-java-8-part-2-functional-interface-predefined-functional-interface-2494f25610d5

why do you need an additional Pipeline class ? I think you can remove the middle man. this will make your api simpler, for example:

Step<Integer, String> source = Step.of(Object::toString);
Step<Integer, Integer> toHex = source.pipe(it -> Integer.parseInt(it, 16));

toHex.execute(11/*0x11*/);// return 17;

you can implement your pipeline pattern simply in java-8 as below :

interface Step<I, O> {

    O execute(I value);

    default <R> Step<I, R> pipe(Step<O, R> source) {
        return value -> source.execute(execute(value));
    }

    static <I, O> Step<I, O> of(Step<I, O> source) {
        return source;
    }
}

in prior java version you can use an abstract class instead:

abstract static class Step<I, O> {

    public abstract O execute(I value);

    public <R> Step<I, R> pipe(Step<O, R> source) {
        return new Step<I, R>() {
            @Override
            public R execute(I value) {
                return source.execute(Step.this.execute(value));
            }
        };
    }

    public static <I, O> Step<I, O> of(Step<I, O> source) {
        return source;
    }
}