Stepan, who scored with a glove-side wrist shot, played 515 games in seven seasons with the Rangers from 2010-17. He hadn't scored an overtime goal since Game 7 of the Eastern Conference Second Round against the Washington Capitals at the Garden on May 13, 2015.
"I'd be lying to you if I told you that it didn't feel good," Stepan said. "You know, when you wake up in the morning you think, 'What would be the best outcome for me?' How about an overtime goal?"
WATCH: [All Coyotes vs. Rangers highlights]
The Coyotes (14-15-2) ended a four-game losing streak and a nine-game losing streak against the Rangers that dated to March 24, 2014.
Arizona trailed 3-0 in the second period but got goals from Jordan Oesterle, Josh Archibald and Oliver Ekman-Larsson. Adin Hill made 27 saves.
"We just said, 'Keep going, keep going, we're going to get chances,' " Ekman-Larsson said. "That's what happened. It's obviously nice to get a comeback win here. I think that means a lot for the team."