"Fencing" means Steed is fighting with everything such as a rapier, a sword, a foil, a saber, a fly whisk...
There're many episodes where Steed is fencing, most of the time he isn't doing it for fun, but has to defend himself. Definitely series four is "the fencing series" of The Avengers.
Here's a collection:
The Grandeur That Was Rome: The only time we see his short umbrella saber, and earlier he's fencing with a large stick against Lucius' sword.
The Charmers: It's umbrella against sword here, and Steed wins; mock fight in the umbrella shop.
The Secrets Broker: unarmed Steed has to fight against an attacker with a sword.
The Town of No Return: He's giving advice to Mrs. Peel on fencing.
The Danger Makers: Steed takes the wrong stick and has to fight first with a fly whisk, then with a rapier.
Castle De'ath: Now, that's a hell of a fight. Steed is fighting with targe and sword against Angus De'ath.
A Touch of Brimstone: Steed would prefer to fight with feather duster at four hundred yards, but returns to a life and death battle against a member of the hellfire club.
A Sense of History: His sword looks a bit droopy and it remains that way after it got challenged.
Room Without a View: feather duster and broomstick against a rifle.
The Thirteenth Hole: Steed got the "wrong stick" and forgot his saber at home.
The Correct Way to Kill: Steed fencing in every position - standing and sitting.
The Superlative Seven: Steed has to defend himself against the assassin with a sword.
Fog: Steed tells about his teacher Kisorky who taught him the saber and gave a lesson in instinctive reflexes training while Travers hurls swords at Steed and he diverts them. He's defending himself with an umbrella cane stick that he found in the club.
Homicide and Old Lace: The second time we get a look at his umbrella sword, but this time it's a foil.
