We can! Here is a giant water-making machine in action, making 1.8 tons of artificial water every second:

At this moment, 200 kg hydrogen and 1600 kg oxygen is mixed every second in a combustion chamber and ignited. This creates a lot of thrust, and you get super-superheated water vapour as exhaust.

The problem is mostly where to get the oxygen and hydrogen from. As it happens, it’s super-easy: all you need is electricity and water:

You can. But where are you going to get the Hydrogen?

Oxygen is pretty easy to get. It’s in the air around us. So if you have a source of hydrogen then you can burn it and get water. But while hydrogen is the most common element in the universe, most of the hydrogen on Earth is already in water.

The easiest way to get it is through electrolysis of water. But there’s really no point in electrolyzing water to get hydrogen to burn to get more water. Really the only use for this technology is in space craft. A hydrogen cell can be used to provide both water and electricity. Simplifying logistics a little.