His collection of books and manuscripts bought from Dunhuang caves is important for the study of the history of Central Asia and the art and literature of Buddhism.

At home the family spoke German and Hungarian,[2] Stein graduated from a secondary school in Budapest before going on for advanced study at Universities of Vienna, Leipzig and Tübingen.

In 1886, Stein met the Indologist and philologist Rudolf Hoernlé in Vienna at a conference of Orientalists, learning about an ancient mathematical manuscript discovered in Bakhshali (Peshawar).

[4] Stein thereafter received approval and support for additional expeditions to Chinese Turkestan, other parts of Tibet and Central Asia where the Russians and Germans were already taking interest.

[8] Later he explored in the Pamirs, seeking the site of the now-lost Stone Tower which the 2nd century polymath Claudius Ptolemy had noted as the half-way mark of the Silk Road in his famous treatise Geography.

[9] The British Library's Stein collection of Chinese, Tibetan and Tangut manuscripts, Prakrit wooden tablets, and documents in Khotanese, Uyghur, Sogdian and Eastern Turkic is the result of his travels through central Asia during the 1920s and 1930s.

Stein discovered manuscripts in the previously lost Tocharian languages of the Tarim Basin at Miran and other oasis towns, and recorded numerous archaeological sites, especially in Iran and Balochistan.

[10] During 1901, Stein was responsible for exposing forgeries of Islam Akhun, as well as establishing the details and the authenticity of manuscripts that had been discovered before 1896 in northwest China.

[15] During his expedition of 1906–1908 while surveying south of the Johnson Line in the Kunlun Mountains, Stein suffered frostbite and lost several toes on his right foot.

When he was resting from his extended journeys into Central Asia, he spent most of his time living in a tent in the alpine meadow called Mohand Marg which lies at the mouth atop the Sind Valley.

[23] Stein, as well as his rivals Sven Hedin, Sir Francis Younghusband and Nikolai Przhevalsky, were active players in the British-Russian struggle for influence in Central Asia, the so-called Great Game.

[26] In the 1910 King's Birthday Honours, he was appointed Companion of the Order of the Indian Empire (CIE) for his service as Inspector-General of Education and Archaeological Surveyor in the North-West Frontier Province.

[27] Two years later, in the 1912 Birthday Honours, he was promoted to Knight Commander of the Order of the Indian Empire (KCIE) for his service as Superintendent of the Archaeological Department, North-West Frontier Circle.