Preheat the oven to 400 degrees F.
Heat the olive oil in an 8-inch cast-iron or ovensafe nonstick skillet over medium heat. Add the onions and heat until warm. Add the steak, roasted red peppers and asparagus and heat until warmed through, 1 to 2 minutes, mixing the ingredients in the skillet until evenly distributed.
Whisk together the milk and eggs in a medium bowl to combine and add some salt and pepper.
Pour the egg mixture into the skillet and top with the cheese. Transfer the skillet to the oven and bake until the frittata is puffed and the eggs are cooked through, about 15 minutes.