 Stephens was born in Boonville, Missouri to Joseph L. and Martha (Gibson) Stephens.His father was descended from Scotch ancestry, which founded families in Virginia and North Carolina in the Colonial era, and his paternal grandparents came to Missouri from Virginia during that period, settling in Cooper County.Joseph Stephens, who was born there, became distinguished as a lawyer, financier and railroad builder

Stephens studied first in the public schools of Boonville, and then for three years at the Cooper Institute, and three years at the Kemper Family school of the same town.