If everything is tight, there should be very little play. When running down the road, you should not be able to detect 'free motion' in the wheel.
If you do, it could be a number of things. The steering shaft could be worn. The joints at either end could be loose. The steering gear could be worn. And, if you drained the P/S system lately, there *could* be an air bubble inside the gear.
Get someone to 'rock' the steering wheel left and right, repeatedly, with the engine off. Whilst this is happening, inspect the steering shaft for play, inspect the joints for play, and inspect the steering gear output for play. And, if you 've done good so far, compare the input fo the gear with the output, looking for internal play.
If you don't find any play there, check the tie rod ends, track bar (if equipped) and the ball joints. These would likely exhibit a tighter 'play' (rather than totally free play), but you might see it with a visual inspection.
Fest3er