The 21-year-old American stumbled to her earliest loss at the U.S. Open, upset in the second round Wednesday by 96th-ranked Johanna Larsson.
"Everyone goes through times like this," said Stephens, who was seeded 21st. "I'm not the first person and won't be the last."
Down a set and a break, Larsson rallied to win 5-7, 6-4, 6-2 to equal her best performance at a major tournament. The 26-year-old Swede had been 0-4 at Flushing Meadows before this year.
"I shouted 'Come on' a few times, not so much for myself but also to show her that I'm still here to win it," Larsson said. "I know, myself, that when you have an opponent who is fighting to the last point, it is very difficult."
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When Stephens' match ended with her 63rd unforced error, she was in such a hurry to leave Arthur Ashe Stadium that she briskly walked around the net to Larsson's side of the court for the handshake.
As Stephens had climbed the rankings, the knock on her was that she would shine in the big-time tournaments and slump in other events: Her Grand Slam record coming into Wimbledon this year was 32-12, while she's 58-57 everywhere else.
The longest active streak at the time, it ended with a first-round loss at Wimbledon this summer.
Now her stay at her home Grand Slam event is over quickly after she had advanced to at least the third round in three previous trips to the U.S. Open.
On the verge of breaking into the top 10 last fall, Stephens' ranking has slid to No. 24.
"Think about this as a little speed bump and work through it and I will get better," she said.
"That was like a kick in the bum that I can do well and really beat the best players," she said.