Eighth-ranked Stephens, the 2017 US Open champion, lost to Sweden's Rebecca Peterson 6-2, 7-5 while 15-year-old qualifier Gauff fell to Kazakhstan's 84th-ranked Zarina Diyas 6-4, 6-2.
"Every loss is something I learn from," Gauff said. "Overall it was a good experience."
The US Open women's hardcourt tuneup event lost its only top-10 entrant in Stephens and its star attraction in 146th-ranked Gauff, whose loss came in her first main-draw match since she fell to eventual champion Simona Halep at Wimbledon.
"I'm looking forward to the US Open and hope I can make a good result there," Gauff said. "I'm going to work on being more aggressive and trusting myself a little more on the court."
Gauff has been shocked at the whirlwind speed at which her life has changed and that crowds still pack every seat to watch her.
"I'm happy for all the support," said Gauff. "I thought it would settle back after a couple weeks but I guess people are still excited.
"All this has changed so quickly so it's hard sometimes but having the experience is definitely going to help me for the US Open."
Stephens, whose first WTA title came at Washington in 2015, exited with one win or less for the eighth time in 10 non-Grand Slam starts this year.
"I could have played better," said Stephens. "It was hot. Tough conditions. But you know from here only thing you can do is improve."
Stephens, 26, split with coach Kamau Murray in late 2018 after four years together and has been guided by Sven Groeneveld for the past two months.
"I've tried to have a good attitude and let the chips fall where they may going forward," Stephens said.
"We're starting fresh. We've done pretty well. I need to have fun and enjoy what I'm doing."
Peterson collected her first victory in nine tries against a top-10 rival.
"Fought for every point that was out there," Peterson said. "I stayed in the moment."
Diyas dispatched the crowd favorite before a packed second stadium.
"I knew there was going to be a big crowd and they were going to support her so I was ready for it. I was more aggressive. I served better.
"She's so young but she's really good. She's so strong and she has a big serve. She's moving well. I think she's going to be very big in the future."
- 'Sky is the limit' -
======================
Gauff, who can't yet drive, has impressed foes and friends alike.
"She's cool. She's locked in and ready to go," said 40th-ranked ATP pal Frances Tiafoe. "She will have a hell of a career. The sky is the limit if she stays focused."
US second seed Madison Keys -- ousted by US wildcard Hailey Baptiste 7-6 (7/4), 6-2 -- was impressed at Gauff's poise in Wimbledon's intense atmosphere.
"How she has handled it and how mature she is -- she's so wise beyond her years," Keys said. "I was just really impressed with how well she handled herself on court. I'm not sure that many of us could have done so well.
"Everyone knew she was a great player and that she could do a lot. The fact she did it right off the bat was pretty impressive."
Gauff is already a role model, Keys saying: "It has been fun watching her and reminding myself I used to be that excited to play."