Stephens Lake is located in northern Manitoba near the town of Gillam, at approximately 56°25′N 95°07′W. It sits along the Nelson River canoe route, appearing as a destination point after Gull Rapids and Gull Lake for paddlers traveling downstream. Canoe route descriptions covering the Nelson River consistently list Stephens Lake and Gillam as the terminus for multi-day expeditions originating as far back as Sipiwesk Lake or Wabowden, making it a recognized take-out area for extended wilderness canoe trips through northern Manitoba.

Stephens Lake Municipal Park is situated on Butneau Road in Gillam and is administered by the Town of Gillam, which can be reached at (204) 652-3150 or information@townofgillam.com. The park's presence suggests some developed infrastructure near the lake's shoreline, though specific paddler-oriented facilities are not detailed.

Nearby water bodies include the Butnau River and Okaw River, and the broader area supports northern pike and walleye populations in surrounding waters. Gillam itself provides access to rail connections, which have historically served as the exit route for paddlers completing Nelson River expeditions, with parties sometimes departing by float plane to Thompson or continuing by train.