Stephens was born in New York City, the son of Xenia and Charles J. Stephens, a former vice president of General Products, a chemical company in Mexico.
He was raised in Mexico City, where his father worked. In his adolescence he attended boarding school at Middlesex School in Massachusetts. After graduation, Stephens studied political philosophy at the University of Chicago. He earned a masters in comparative politics from the London School of Economics. He is married to Corinna da Fonseca-Wollheim, a music critic who writes for the New York Times. The couple have three children and reside in New York City.