Stephens, nicknamed the "Fulton Flash" after her birthplace Fulton, Missouri, was a strong athlete in sprint events – she never lost a race in her entire career – but also in weight events such as the shot put and discus throw, and she won national titles in both categories of events.
Aged only 18, Stephens participated in the 1936 Summer Olympics. There, she won the 100 m final, beating reigning champion and reigning world record holder Stanisława Walasiewicz (aka Stella Walsh) of Poland. Her time of 11.5 s was below the world record, but was not recognized because a strong tailwind was present at the time of the race. Next, Stephens anchored the American 4×100 m relay team that won the Olympic title after the leading German team dropped its baton.
Stephens is quoted by Olympic historian David Wallechinsky about her post-race experience with Adolf Hitler. "He comes in and gives me the Nazi salute. I gave him a good, old-fashioned Missouri handshake," she said. "Once more Hitler goes for the jugular vein. He gets hold of my fanny and begins to squeeze and pinch, and hug me up. And he said: You're a true Aryan type. You should be running for Germany.' So after he gave me the once over and a full massage, he asked me if I'd like to spend the weekend in Berchtesgaden." Stephens, who was closeted, refused.
Stephens retired from athletics shortly after the Games and played some professional baseball and softball. She attended William Woods University, Fulton High School, and Middle River School in Fulton. From 1938 to 1952, she was the owner and manager of her own semi-professional basketball team. She was employed for many years in the Research Division of the U.S. Aeronautical Chart and Information Service (later, a part of the Defense Mapping Agency) in St. Louis, Missouri.
At the 1936 Olympics it was suggested that Stephens and her 100 meters rival Stanisława Walasiewicz of Poland, who had both X0 and XY chromosomes, were in fact male. The Olympic Committee performed a physical check on Stephens and concluded that she was a woman.