I recently purchased NTW, and am now interested in taking some in-game screenshots. I am not hearing a click when I press F12 (the Screenshot hot key reported by Steam), and am not seeing any screenshots either from within Steam or on disk. I am led to believe that the screenshots should appear somewhere below the directory:
%UserProfile%\Pictures\Screenshots\
Environment:
- Windows 10 on AlienWare 15 laptop
- Running on LG Widescreen monitor (2560x1080) from Nvidia graphics card in full-screen mode (NOT windowed)
- NTW launched from Steam Big Picture
This was tentatively closed as a duplicate, but as a complete newbie to Steam I found this answer to be much more informative than the linked possible duplicate. Combined, they filled in a lot of details about the relationship between Big Picture and normal that I had been unaware of. I believe treating both questions as related but not duplicates is appropriate.

shift + tabto see the Steam overlay? If you press F12 and then access the overlay, are your screenshots in the bottom left?