A native of Sainte-Foy, Steve Penney began his goaltending career with the Shawinigan Cataractes at the age of 17. After three seasons in the Quebec Major Junior Hockey League, he alternated between the American Hockey League and the International Hockey League for three years.

He made his NHL debut a few games into the 1983-1984 season. Canadiens coach Jacques Lemaire, dissatisfied with the play of his goaltending tandem, recalls Penney, then 23, from the AHL and makes him the starting goaltender for the 1984 Stanley Cup playoffs. Penney was an immediate sensation, posting three shutouts as Montreal beat the Boston Bruins and Quebec Nordiques to reach the Eastern Conference final against the New York Islanders.

During his career with the Montreal Canadiens, he was named to the NHL All-Rookie Team (1985), received the Molson Cup (1985) and was a finalist for Rookie of the Year (1985). His team also won the Stanley Cup in 1986.

He was later traded to the Winnipeg Jets, where he finished his career two years later.