I did a bit of checking in the US records -- you seem to have all this but did you realize that with the census info from 1900 on you can find out about naturalization? Those records will give an exact date they crossed from Canada to USA - and a border entry port. It might even give more.
Also, immigration years are given. If you aren't sure what questions are asked on what census, see
http://allcensusrecords.com/ There's a good explanation of each census year questions for USA and for Canada
Anyway, in case you haven't seen it, in
James Stephens 1900 record he says he immigrated in 1870 (so did dau. Florence) and is Naturalized. Illinois nats can be found at
http://naturalizationrecords.com/usa/ Click on Illinois bottom of page, read the intro, then choose ONline records. If you come up empty, go to OFFline records for Illinois and see where to get those records.
Frank Stephens (middle initial "H") also in IL in 1900 says he was b Nov. 1864 in Canada -- that will help you when looking thro church records in Ottawa area. Claims imm. date of 1865 - may or may not be correct. He too is naturalized
Not sure if I found
Edwin, the guy I found in IL in 1900 says he was born Sept 1853, imigrated 1859 and is naturalized. But the same guy in 1920 says he imm. in 1865....
Did you check out the
Alfred Stephens, age 37 b Eng lviving in Ottawa, Carleton Co. ON in 1880?? Could he be Alfred the son you mention being b 1843/1844? He's got a wife Mary and kids Mable, Edward and Edith.
I hope you can find their nat. records! Oh, almost forgot, since James claims to be a "confectioner" and a "baker" in the census records I saw, you may want to check Ottawa area newspapers for the years he lived there - he may have had a store of some sort.
I can't remember the site for the list of Ontario newspapers that are available in those years but i know there's a link at the Ontario Genealogy Research section of Olive Tree.
http://olivetreegenealogy.com/can/ont/ Choose Ontario Newspapers on this page