The Magpies netted twice in the opening half of the Diriyah Season Cup clash following Joelinton's first-half brace as the Brazilian opened the scoring by heading home from Jacob Murphy's lofted cross before doubling his and United's advantage before the half-time break in Riyadh.
Miguel Almirón extended the visitors' lead further in the second-half with two impressive finishes before Stephenson, who joined the Magpies' Academy at the age of 14, confirmed a convincing victory against the current Saudi Pro League champions in the closing stages after slotting the ball home from Ryan Fraser's cross.
Stephenson, who celebrates his 20th birthday on Saturday, told nufc.co.uk: "I was absolutely buzzing when I saw the ball hit the back of the net. It's a very happy moment for myself and my family. I'm absolutely delighted about it as well as the team getting a good win.
"It was a bit of an awkward finish. I was trying to get as focussed as possible to make sure I got a good connection on the ball, which I did, and then it went in.
"I thought when I played the ball through to Ryan (Fraser), he'd go on to score and I would've been happy to get an assist so I was really happy that he pulled the ball across to me.
"Joining the academy at the age of 14, I never thought I'd come all this way and to score my first goal for Newcastle United is an unbelievable moment.
"Getting my first goal for the first-team gives me a massive boost of confidence. In the near future, hopefully I can be involved in some cup competitions and it would be another good moment for my family."
Teenage trio Alex Murphy, Jay Turner-Cooke and Lewis Miley, all of whom have featured for the Magpies' Academy this term, were all handed their first-team bows at the Prince Faisal bin Fahd Stadium.
Stephenson, who made his first-team debut for his boyhood club in a pre-season victory against Atalanta at St. James' Park in July 2022, revealed he was pleased for his fellow team-mates in making their senior bows and has relished his experiences in Saudi Arabia.
The Blyth-born striker added: "I'm absolutely buzzing for all of the lads who came on tonight. Lewis (Miley) came on who is a first-year scholar and it's great memories for us all all. We're all good mates in the academy and I'm as happy as they are.
"I've gained a lot of experience from the trip to Riyadh. It's a massive difference between the first-team and academy level and I'll take a lot on board going back there. On or off the pitch, there's been so much to take from this week.
"I need to work as hard as I can and that can help to take me where I want to be. Having that first goal gives me a lot of hunger and determination."
