It was Stephens' first loss in a tournament final after going 6-0 in her previous appearances.
The American was defeated 3-6, 6-4, 6-1 by world No 1 Simona Halep in Saturday's championship match at Roland Garros in what was her first defeat in a final after previously boasting a flawless 6-0 record.
"It's very emotional. I've been waiting for this moment since I was 14", she told the crowd after lifting the trophy up in the air, then kissing it.
"First of all, thank you guys".
To manage it, Halep had to come back from a set and a service break down, just as Jelena Ostapenko, her opponent in last year's French Open final, had done against her. "I just have to start to relax and enjoy the match".
Halep assured herself of retaining the No. 1 ranking and reached her third final in Paris.
Halep has won her last four matches against Stephens and both of their meetings on clay, including in the 2014 French Open fourth round, while the two have never played a three-set encounter.
Her first win in the tour since NY arrived in February in Acapulco.
"She's No. 1 in the world for a reason", Stephens said of Halep.
"For all the haters who said she'll never win a slam because she's mentally weak, go choke on that", Petkovic posted.
Halep is still chasing her first Grand Slam title.
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She was rewarded with a break in the second and fourth games to take a 4-0 lead looking totally in charge of proceedings.
Still, "I had last year and this year in my mind all match", said Halep, 26.
But she climbed back into the top 100 with strong performances at lesser tournaments, then broke out at the U.S. Open.
After losing the opening set 6-3, Halep found herself in trouble immediately at the start of the second as Stephens put her under pressure with excellent returns.
"No matter how hard the adversity that you go through, there is always light at the end of the tunnel, and I'm glad she finally got her light", added Stephens, who recovered from foot surgery past year to win the US Open.
Halep reads the game beautifully and flows around the court with a rare grace, and her quest for a Grand Slam title underscored her steely side.
Jana Novotna, the Czech star, also lost her first three major finals, finally winning Wimbledon in 1998.
That's just what she did, as she used her court awareness and athleticism to take control of the match and gain her first Grand Slam title.
"Congratulations to Simona. There is no-one else I'd rather lose to than the number one in the world", Stephens, who will rise to four in the rankings, said.
Down a set and a break in the second, Halep rose to the challenge and started moving the American around the court to the joy of an openly pro-Halep crowd at the Philippe-Chatrier Court.
The American had worn out irreparably, and it was her turn to fall 2-0 down at the start of the deciding set.
German Andrea Petkovic - a former top-10 player now ranked 107th in the world - sent a message to Halep's critics.