Born and raised in Kansas. His father, Alexander Lewis Stephens, was from Ohio and his mother, Lena Blanche Daugherty, was a native of Illinois. His father died when Steve was a year old.
Born John Stephens, he adopted the name of Brooklyn (NY) bookmaker and daredevil Steve Brodie (1863-1901), who in 1886 claimed to have jumped off the Brooklyn Bridge in a publicity stunt.
