Stephenson grew up in Burwell, a village on the edge of the Fens in Cambridgeshire, between Newmarket and Cambridge. Her father Robert (1847–1929) was a farmer, surveyor and owner of a cement-manufacturing company; her mother was Sarah Rogers (1848–1925). Robert Stephenson was a prominent figure in the local community, appointed as a Justice of the Peace and then Deputy Lieutenant of Cambridgeshire; he was also a chairman of the County Council. He employed many local people in his cement works. Both Stephenson's grandfathers, Robert Matthew Stephenson (1815–1870) and Samuel Rogers, were racehorse trainers in Newmarket, a major horse-racing centre. Samuel Rogers had been a jockey before becoming a trainer.