How can I make a steel floor lamp look less modern and more “country”?

You can buy spray paints or other special paints that will adhere to metal and not chip off. I would suggest painting them a matte balck finish to make them look like wrought iron. I believe you can take the metal shade off and buy different shades that you like. (I’ve done it with similar lamps)
You can buy plain white shades and decorate them yourself, or buy pre-made decorative ones. If you want to do it yourself, you can use items from nature, like real flowers or fake ones and decoupage them to the shade. If you use real ones, make sure you use a good sealant to cover them once you’ve applied them to the shade. Then, for the base, buy fake ivy and wind it all the way up around it to the shade. You can keep it in place with balck zip ties that will blend in easily.
Hope you like my idea!