I think the answer is:
My prefix prints
An animal's PAW leaves a print on the ground.
My infix expresses frustration
AW can be an exclamation of disappointment.
My suffix is often exclaimed
WN is an abbreviation for "What now?!", something that might be exclaimed aloud.
The OP states in comments that their intention here was merely N, as a reference to "n!", the mathematical shorthand for a general factorial. 'Exclaimed' here is a reference to the use of an exclamation mark...
My whole goes one step at a time
In general, a PAWN moves just one space at a time across the chessboard (except of course for it's opening move, which may be 2 steps - hinted by the 4th clue). The 2nd and 3rd clue are references to the pawn being considered the least powerful piece on the board, considering that all other pieces can move in many more directions or over greater distances.
As for the title:
The 'pieces' mentioned are chess pieces!