In a bowl, combine the sour cream and horseradish; season. Cover sauce and refrigerate until ready to serve.
In a medium saucepan, heat 2 tbsp. oil over medium heat and cook the onion until soft, 6 to 8 minutes. Sprinkle the flour over the onion; cook, stirring, until just starting to brown, 1 to 2 minutes. Whisk in the milk and simmer, whisking constantly, until thick, about 5 minutes. Stir in the spinach and nutmeg; season. Cook until warmed through, 2 to 3 minutes more. Cover to keep warm.
Heat a large heavy skillet (preferably cast-iron) over medium-high heat until very hot. Season the steaks generously. Working in batches, and without crowding the pan, cook the steaks in remaining 2 tbsp. oil, flipping halfway through, 2 to 3 minutes for medium-rare. Serve steaks with horseradish sauce and creamed spinach.