Stevens was born Concetta Rosalie Ann Ingoglia in Brooklyn, New York, the daughter of musician Peter Ingoglia (known as Teddy Stevens) and singer Eleanor McGinley. Her mother was of half Irish and half Ashkenazi Jewish ancestry. Stevens is of Italian, Irish, German-Jewish and Polish-Jewish descent. She adopted her father's stage name of Stevens as her own. Her parents divorced and she lived with her grandparents and attended Catholic boarding schools. Actor John Megna (1952–1995) was her half-brother.