Stevens was born Risë Gus Steenberg in New York City, the daughter of Sarah "Sadie" (née Mechanic) and Christian Carl Steenberg, an advertising salesman. Her father was of Norwegian descent and her mother was Jewish (of Polish and Russian descent). She had a younger brother, Lewis "Bud" Steenberg, who died in World War II. She studied at New York's Juilliard School for three years, and with Anna Eugenie Schoen-René (1864–1942). She went to Vienna, where she was trained by Marie Gutheil-Schoder and Herbert Graf. She made her début as Mignon in Prague in 1936 and stayed there until 1938, also singing in guest appearances at the Vienna State Opera.