The high-order shock-capturing scheme is critical for compressible fluid simulations, in particular for cases where strong shockwaves are present. However, for the steady-state solution of Euler equations, the high-order shock-capturing schemes usually suffer from the difficulty that the numerical residual hangs at a relatively high level instead of converging to machine zero. In this paper, a new paradigm of finite-difference converged ENO (CENO) scheme for steady-state simulations of Euler equations is proposed. Different from the existing methods dedicating to eliminating the slight post-shock oscillation, the unsteady effect of shock-induced numerical instability on the nonlinear weighting process as well as the resultant variation of the numerical formula for the spatially fixed cell interface flux at different time instants are demonstrated to be the core contributors to the non-convergence of high-order shock-capturing schemes. Unlike classical ENO/WENO/TENO schemes, which generate the final reconstruction based only on spatial information, evolutionary information is also exploited by a novel converged stencil selection strategy in the present scheme. With this strategy, the unsteady effect of shock-induced numerical instability on the nonlinear weighting process is incorporated and eliminated by a tailored adaptive scale-separation algorithm, while shock-capturing capabilities are not sacrificed. A set of well-established and newly designed challenging benchmark simulations involving strong shockwaves, contact discontinuities and rarefaction waves demonstrates that the new fifth-order CENO5 scheme features superior convergence properties and achieves the essentially non-oscillation property better when compared to the robust TENO5 scheme and the state-of-the-art WENO-type schemes designed for steady-state problems.