Steve began playing music just days before his 14th birthday as a freshman at South Shore High School on the south side of Chicago. His first instrument was violin but later that year he switched to the alto saxophone. For three years Steve studied the basics of music and saxophone technique, then he decided that he wanted to learn how to improvise. Looking for the best improvising musicians to listen to is what brought Steve to the music of Charlie Parker, although it helped that his father listened to Parker all the time. After spending two years at Illinois Wesleyan University Steve transferred to Roosevelt University (Chicago Music College) in downtown Chicago in order to concentrate on Chicago's musical nightlife. Specifically Coleman had been introduced to the improvisations of Chicago premier saxophonists Von Freeman, Bunky Green, Gido Sinclair, Sonny Greer and others and he wanted to hang out and learn from these veterans. By the time he left Chicago in May 1978, he was holding down a decent gig leading a band at the New Apartment Lounge, writing music, playing Parker classics, and getting increasingly dissatisfied with what he felt was a creative dead end in the Chicago scene.
After hearing groups from New York led by masters like Max Roach, Art Blakey, Woody Shaw, The Thad Jones-Mel Lewis Orchestra, Sonny Rollins, etc. come through Chicago with bands that featured great players with advanced musical conceptions, Steve knew where he wanted to go next. He felt he needed to be around this kind of atmosphere in order to grow musically.