It's translated as "I didn't think it was so steep". It looks to me that と here is used a a nominalizer, but I didn't find any dictionary to confirm this. Also, can it be replaced by other nominalizer, like の, 事 or 物?
The と here is sometimes called a "quotative" particle, as if it marks the end of a statement, which the rest of the sentence describes: 「急だ」と[は]思わなかった。 The は here is used a bit like emphasis, and isn't strictly necessary from a grammatical perspective.
Another way of looking at it is like the "that" coordinating conjunction in English: "I didn't think that it was so steep." While this coordinating "that" is often omissible in English, this と is not omissible in Japanese.