Stein first attended schools in his home city before continuing his studies in Dresden. He returned to Budapest for his final examinations at the prestigious Lutheran Gymnasium. He then went on to study under leading scholars on India and Iran in Vienna and Leipzig, and prepared his doctoral dissertation at the Tübingen University. At the age of 21, he acquired his doctoral degree under the guidance of Professor Rudolf von Roth (1821-1895), a great authority in Vedic language and literature. Between 1884 and 1886, with a grant from the Hungarian Government for postdoctoral studies, he travelled to London, Oxford and Cambridge to study the collections of Oriental books and coins at institutions suc as the Ashmolean Museum, the Bodleian Library, and the British Museum. He also studied modern Indian languages at the Oriental College in Woking, run by another native of Budapest, Wilhelm Gottlieb Leitner (1840-1899). From 1885 to 1886 he interrupted his scholarship to spend a year of training as a reserve officer at the Ludovika Military Academy in Budapest. The training in cartography and surveying he acquired there greatly contributed to his achievements in mapping Central Asia, which also secured his position in the history of geography.