Stephens took a $3.7 million (3.07 million euros) top prize from the biggest victory of her career, pitted against one of her closest friends in the first all-US final since 2002 on the New York hardcourts.
"I should just retire now," Stephens said. "I'll never be able to top this. Talk about a comeback. Things just have to come together and the past six weeks they really have."
With the 15th victory in her past 17 matches, Stephens became only the fifth unseeded player to win a women's Slam title, although Latvia's Jelena Ostapenko managed the feat at this year's French Open.
The only prior unseeded US Open women's champion was Kim Clijsters, who came back from retirement to take the 2009 title.
"It's incredible," Stephens said. "I had surgery January 23. If sone told me then I'd win the US Open, it's imposssible I'd say, absolutely impossible.
"This journey has been incredible and honestly I wouldn't change it for the world."
Stephens made only six unforced errors in the match to 30 for Keys, who had 18 winners to 10 for the champion.
It was the first final set of a US Open women's championship match where the loser didn't take a game since Chris Evert beat Evonne Goolagong 6-3, 6-0 in 1976.
"I didn't play my best tennis today and I'm disappointed in that but Sloane was very supportive and if there's someone I have to lose to today I'm glad it's her. Sloane is truly one of my favorite people.
"If you told me two months ago I'd be holding a US Open finalist's trophy I'd have been really happy and proud of myself."
Presented with the winner's check, Stephens said, 'That's a lot of money. Wow," but then handed the check envelope to best pal Keys, who she sat next to after the victory rather than on opposite sides of the umpire's chair, to take hold of the winner's trophy.
"Maddie is my best friend on tour," Stephens said. "I told her I wished there could have been a draw. I'm going to support her no matter what and she's going to support me no matter what.
"To stand here with her today is incredible -- that's what really friendship is."
Keys, seeded 15th, and 83rd-ranked Stephens each fought off injuries to reach the title showdown.
Stephens returned at Wimbledon and slid to 957th in world rankings before semi-final runs at US Open tuneups in Toronto and Cincinnati, while Keys underwent her second left wrist surgery after the French Open and won a tuneup title at Stanford.
Stephens will jump to 17th in Monday's world rankings while Keys, who took hom $1.825 million as runner-up, will rise to 12th.
In the firset set, Stephens broke to seize a 3-2 lead, Keys swatting a forehand beyond the baseline to surrender the game, and Stephens broke again when Keys send a backhand long to take the set after 30 minutes.
Keys made 17 unforced errors in the opening set to just two for Stephens, both in the last game.
In the second set, Stephens broke with a forehand crosscourt winner past on outstretched Keys to grab a 2-0 edge, then broke again on a double fault for a 4-0 lead, Keys swatting the ball with her left hand as it bounced back at her.
Keys forced triple break point in the fifth game but Stephens saved them all and held to 5-0.
The end came after 61 minutes on Stephens' third break and championship point when Keys netted a forehand.
Hands on hips, Stephens simply stood for a few seconds with a stunned expression, then smiled and made a tiny fist pump before going to the net to share a teary-eyed hug with Keys.
Neither Keys, 22, nor Stephens, 24, had ever reached a Slam final, only the seventh time in the Open Era (since 1967) two first-timers met for a women's Slam title.
But it was the second time in three years it happened at Arthur Ashe Stadium after Flavia Pennetta beat Roberta Vinci in 2015's all-Italian final.