Further Research Avenues
William should be found in 1861 Ontario census or in 1861 England. Many of the 1861 census returns for Ontario are missing so we can't conclusively say he was not in Ontario that year. A search of English records for 1841 and 1851 may find him with his parents. I would search under his parents' names, but realize that Delia can be a nickname for Bridget and that Bridget may be an Irish name.
Of course there's always the chance that William's parents also came to Ontario. If so, they might be found in the online records.
I'll continue sharing my research into William pre 1868, and William's parents, John and Bridget Stephens, in Part 3
Develop a Working TheoryLooking for John & Bridget in 1851
After I said that there was always the chance that William came to Canada with his parents I decided to search Essex County for John and Bridget Stephens in the 1861 and 1851 census. I believe I may have found them in Malden Township in 1851. That makes good sense as William probably met his first wife Elmira close to her home. She's two pages away from the Stevens family that year.
They are listed as John Stevens [sic] born England, aged either 54 or 34, a Pensioner and his wife Bridget, born England, age 52 or 32. She is Roman Catholic, he is Episcopalian. This clue about their religion might help you to locate church records for the family.
There is a John Stevens age 7 or 1, as well as a William Stevens age 12 on the same page. Just to throw a twist, they are both listed as being born in "Canada". Both boys are listed as Roman Catholic which does make sense if their mother is Bridget. It is very difficult to know if they are living in the same house as John and Bridget because the census page entries are a bit different.
Usually on the second sheet of 1851 you see how many are in each family by checking for an entry for type of house - log, brick, shanty..... whenever there is a new type of house listed, that's a new family unit. On this particular sheet, there is no entry for type of home until the 25th person. So I am not sure who the two boys are living with.
I did find a William Stevens in Malden in 1861. He is age 17, labourer born England living with a family that is not his. He was probably a farm labourer living with a local farmer. He is listed as Roman Catholic. The change in religion from 1861 to 1871 doesn't concern me greatly as that was not uncommon. Perhaps his mother raised him as Catholic but once he married he switched. My own Irish McGinnis ancestor did the same thing.
It may be quite challenging to prove that the John and Bridget I found in 1851 are your William's parents but I would use my find as a working theory. A working genealogy theory simply means you must set about to find evidence that will prove or disprove your theory.
I suggest you continue researching this John and Bridget and see what you can discover about them. There may be a piece of the puzzle hiding in the records that will link your William to them or put them out of the picture entirely.
You might also consider hunting for the birth of William in English records. You can use FreeBMD to search the indexes for a birth for the period 1837-1983.
This has been a fun and challenging query to work on and I hope you can continue to research and find new information.