On 18 December 1855 Stephenson joined the Royal Navy, becoming a Naval Cadet in HMS "St Jean d'Acre", commanded by his uncle Henry Keppel, and serving in the Black Sea during the Crimean War. From September 1856 to April 1857 Stephenson served under Keppel as a cadet in HMS "Raleigh", serving in the East Indies and China during the Second Anglo-Chinese War, until his ship wrecked near Macau when it struck an uncharted rock. All the crew were saved. In June 1857 he served as a Midshipman in HMS "Pearl", serving with "Pearl"s Naval Brigade during the Indian Mutiny of 1857, during which he was Mentioned in Despatches three times. In June 1861 he was promoted lieutenant in HMS "Emerald", serving in the Channel Squadron.