John Steed in Comics
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The first John Steed/The Avengers comic ever was The Drug Pedlar, a series 1 comic featuring John Steed and Dr David Keel. The comic was released in The Crimbusters Annual from 1962 (pages 87-92).
1. Comics
Dr. Keel and John Steed in: The Drug Pedlar, p.88
The newest comics were published by Eclipse Comics from 1990 on, later by BOOM! Studios; digital version were avaiblable by BOOM! Studios from 2012 on.

Three series exists:

I.Steed and Mrs Peel (1990-92)

The comic had six issues with two stories. The printed version was published between 1990 -1992 by Eclipse/ Acme. Its digital unlimited version is available via BOOM! Studios.

When Tara King is kidnapped by a mysterious organization, John Steed and Emma Peel must reunite to solve this new mystery.

1. The Golden Game (# 1-3): a three-parter with Crown and Anchor; Hare and Hounds and Fox and Geese
2. The Deadly Rainbow (# 4-6): The Deadly Rainbow 1.1 and 1.2 and part 2
II.Steed and Mrs Peel: We're Needed (2014)

Issue 1: "When an old associate of John Steed is killed, a grand conspiracy is suspected. This will take Steed and Peel to a strange village, where one of the spies finds themself a prisoner."

Issue 2: "John Steed continues the quest for the truth about his fellow agent, uncovering some secrets about the remote seaside resort he's investigating-and the locals are willing to go to extreme measures to keep Steed quiet. Meanwhile, Mrs. Peel weaves her way through the London Underworld before hitting the beach, as the return of Britain's coolest secret agents continues."

Issue 3: "As John Steed fights for his life inside the not as quiet as it seems seaside community, Emma Peel needs allies, and finds them in the most unlikely of sources, as the first arc in the super spies' return comes to a smashing conclusion."
III. Steed and Mrs Peel ongoing

published in printed form (2012- 2013) and digital by BOOM! Studios

The stories bring back villians of the Hellfire Club story from the series 4 episode "A Touch of Brimstone" and the Cybernauts.

12 issues, starting with #0 and ending with #11
also available as Vol. 1-3 (4 issues each)
Volume 1 - A Very Civil Armageddon: Issues 0-3
Written by Mark Waid and Caleb Monroe. Art by Steve Bryant, and Will Sliney

Volume 2 -The Secret History of Space: Issues 4-7
Written by Caleb Monroe. Art by Yasmin Liang. Cover by Joseph Michael Linsner

Volume 3 -The Return of the Monsters: Issues 8-11
Written by Caleb Monroe. Art by Yasmin Liang. Cover by Joseph Michael Linsner
The issues also appeared with different covers.
They are also available as collections.
The History of comics with John Steed and The Avengers

Mike Noon started to collect information about The Avengers comics on his site The Avengers Illustrated.
2. Parody
Parody in "Pilote. Le journal qui s'amuse a reflechir", Vol. 13 Issue 583

see on: Le Monde des Avengers
3. Ian Durden's The Avengers comic strips
Artist and The Avengers fan Ian Duerden published several The Avengers comic strip on his website The Avengers Artland.

The Annual Illustration Strips:

The Late Christmas Present

The Christmas Rose

On the Feast of St. Stephan

Under the Mistletoe

The Comics Strips


Legacy Unbound

The Sisterhood

and don't forget to make the aquantaince of the dashing hero Calamus Quill in

The Tales From the Clockwork Empire (two volumes).

For a list of The Avengers comics sorted by country of it's publication go to the Russian fansite Steedumbrella. There are comics from The United Kingdom, The USA, France, West-Germany, Netherlands, Agentina, Spain, Chile, Belgium, Austria and China.
J.S. Ferguson concentrated on The New Avengers related comics on the TNA focused site  ANew.
Denis Kirsanov, webmaster of Steedumbrella, combined these information and completed the comic section with missing pieces and the newest information about The Avengers comics.
Comics from the annuals areavailable on the Belgian website PURRR
Preview/Review ofthe Steed and Mrs Peel comics in: Amazing Heroes Issue 184 (1990), p.24-29