Born Woodford Cefis Stephens in Stanton, Kentucky, he had a younger brother named William Ward Stephens who also became a successful trainer. Woody Stephens started in racing as a jockey at age 16 but within a few years switched to training horses. After working as an assistant for several years, in the late 1930s he started training on his own, taking on horses from various owners. Near the end of the 1950s, he was hired by the wealthy Harry Guggenheim as head trainer for his Cain Hoy Stable. The move proved very successful, with Stephens training several champions and winning a number of major stakes races, including the Kentucky Oaks three times. He remained with the Guggenheim operation for ten years before returning to run his own stable again in 1966.
Stephens was elected to the National Museum of Racing and Hall of Fame in 1976. In 1983, he won the Eclipse Award as the top trainer in the United States. Although he often wore rumpled clothes, his earnings from racing plus investments in successful breeding stock made him a very wealthy man.