After attending secondary school in Moscow he went as a student to Heidelberg, and there in 1910 he obtained his doctorate for a thesis on Vladimir Solovyov's philosophy of history.

Between 1910 and 1914 Stepun edited the international philosophical journal, Logos, and travelled across Russia lecturing on philosophy, literature and culture.

He settled in Germany, working first in Berlin, and afterwards as a professor of sociology in Dresden (1926–1937).

During this period he published in Russian his books on 'Life and creation' (1923) and 'Letters of an Artillery Ensign' (1925), as well as Wie war es möglich?

His philosophical doctrine has been described as neo-Kantist transcendentalism linked with religious metaphysics, close to the ideas of Vladimir Solovyov and Nikolai Berdyaev.