But then you'd have to bring the oxygen instead. To manufacture anything resembling normal rocket fuel you need at least oxygen + hydrogen. Preferrably oxygen, hydrogen and carbon, so you don't have to deal with cryogenic storage of hydrogen.
But you need a lot of energy to split water. You can get a few bubbles with a battery, but to fill the rocket with oxygen you need a huge solar farm or something similar to power the electrolisis plant.
Oxygen atoms are easy to find, sand and rust (and water) have a lot of them. The problem is isolating them to produce molecular oxygen that can be used to burn the fuel.
> a huge solar farm or something similar to power the electrolisis plant.
Eventually it should be possible to build such things in space and then they can be huge. There are already semi-serious proposals to solve the Earth's energy problems with space based solar collectors. Of course they would have to a lot bigger further out. Perhaps Jupiter's flux tubes could be tapped.