Princess Stephanie was the daughter of King Leopold II of Belgium and his wife, Archduchess Marie Henriette of Austria. In May 1881, she married Crown Prince Rudolph of Austria, shortly before her 17th birthday.

Their marriage was an unhappy one. Rudolf was highly intelligent, unconventional, impulsive and very liberal, while Stephanie was conventional, formal and reactionary. Their only child, Archduchess Elisabeth Marie of Austria, was born at Laxenburg Castle on 2 September 1883. She was known within the family as "Erzsi". Crown Princess Stephanie received little support from the Imperial family during her marriage. Empress Elisabeth avoided Stephanie, referring to her as "das hässliche Trampeltier" (the ugly clumsy oaf), "a moral heavyweight" and an "ugly elephant". When Rudolf infected her with a venereal disease, which made further pregnancies impossible, they reportedly discussed divorce.

In 1889 Rudolf was found dead at Mayerling, with his mistress, the seventeen-year-old Baroness Mary Vetsera, apparently the result of a suicide pact. Her husband's death destroyed Stephanie's hopes of ever becoming the future Empress of Austria, as the scandal resulting from his death and her widowhood isolated her even further from the court in Vienna.

In 1900 she married Count Elemer Lonyay, a Hungarian diplomatist. She settled with her new husband in his castle Oroszvar - Rusovce in western Hungary, today's Slovakia, until the advancing Red Army forced them to flee their estate. They found sanctuary in the Benedictine abbey of Pannonhalma, near Györszentmarton, Hungary where she died on 23 August, 1945.