Stephens trained at the Royal Military College, Sandhurst, from where he was commissioned into the Rifle Brigade as a Second Lieutenant on 9 April 1890. He was promoted lieutenant on 13 February 1892 and captain on 26 July 1897. He served in Matabeleland in the Second Matabele War in 1896-1897 and in the Nile Expedition of 1898. From late 1899 he served in South Africa in the Second Boer War of 1899–1902, during which he was severely wounded, was three times mentioned in despatches (including 25 April 1902 "for his conduct of a successful attack on a Boer laager of 25 January 1901, and for general good service"), promoted brevet major on 29 November 1900, and received the Queen's South Africa Medal with three clasps and the King's Medal with two clasps. Following the end of the war, he left Port Natal on the SS "Malta" in late September 1902, together with other officers and men of the 2nd battalion Rifle Brigade who were transferred to Egypt.