This one is in first person, so some leeway is needed with the usual rules about complete sentences and whatnot. Nevertheless, the third sentence fragment needs a comma after inside.
Change clay steps to clay stairs to avoid confusion (steps as in walking, versus steps as in, y’know, stairs).
Hyphenate cobalt-blue in this usage (compound adjective).
Three steps up the clay stairs to a cobalt-blue door. A brass knocker, a brass door knob. And inside, the man who stole my bag.