A by-product of combustion is water vapor, but you normally only see this on frosty days from, e.g., a vehicle exhaust or condenser boiler.
You may get black/brown tarry creosote coming from the exhaust, but this is normally a smelly sticky substance. It's possible as the exhaust gasses expand, the temperature drops to the degree that water vapor condenses out in the humid atmosphere.
Temperature can drop substantially as gas expands, hence the vapor trails on the wings of aircraft in low-pressure regions of the wing, or you'll notice how an aerosol can get really cold as the spray is released. Another example is when you blow out air from your mouth onto your hand. If your mouth is wide open it feels warm, but if you blow out with your lips tightly closed, the air feels cold, because of the temperature drops as it expands on exit. Moisture will also condense when the air is compressed because it can only hold a certain mass of water per volume at a specific temperature. So this is why water condenses in the tank of an air compressor, as molecules of H2O get squashed together when the air is compressed.