He co-founded the Naked Angels Theater Company with longtime friends Rob Morrow, Nicole Burdette, Pippin Parker, Charles Landry, Nancy Travis and Ned Eisenberg in 1986. He also co-founded Greene Street Films, a film-production company located in Tribeca, New York City, in 1996. Stevens performed as Edgar Allan Poe on Lou Reed's album The Raven in 2003. He is also an accomplished harmonica player.