The phrase steal your thunder means to take credits for the actions of somebody else. The phrase is said to have originated due to a theatre production.
In those days, the theatre was a major source of entertainment for the public and many plays were organised in theatres. But despite the best efforts of many, no one was able to properly replicate the sounds of thunder. It was then in 1704, that John Dennis who was a playwright created a new method to make the sound of thunder. He used this in his latest play, Appius and Virginia. This play was not successful and soon closed down. Instead within a short period of time, the same theatre started hosting another play, Macbeth. This play also used the same method that John Dennis had created to imitate the Sound of Thunder.
So when Dennis went to this theatre to watch Macbeth, he saw them using the same technique to recreate the sound of Thunder following which he said: "They won't let my play run, but they steal my thunder."